Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage

Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage is a book that teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. It is perfect for investment professionals and data scientists and students in statistical and quantitative disciplines.

Format: Hardback
Length: 304 pages
Publication date: 15 November 2021
Publisher: John Wiley & Sons Inc

Quantitative equity trading is a complex and dynamic field that requires a deep understanding of financial markets, statistical analysis, and computer programming. In his book, Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko provides a comprehensive and systematic review of the quantitative trading of equities, also known as statistical arbitrage.

The book begins by introducing the reader to the basics of quantitative trading, including the types of strategies used, the data sources used, and the risk management techniques employed. It then delves into more advanced topics, such as machine learning methods for forecasting stock returns, the combination of multiple forecasts into a single model, and the theoretical and practical aspects of portfolio construction.

One of the key strengths of the book is its emphasis on avoiding the pitfalls of overfitting and the curse of dimensionality. Dr. Isichenko discusses topics such as active research in machine learning, including the concept of "benign overfitting," and provides practical insights on how to avoid these issues in practice.

The book is well-organized and easy to read, with clear explanations of complex concepts and examples to illustrate the points being made. It is suitable for investment professionals, such as quantitative traders and portfolio managers, as well as data scientists and students in a variety of statistical and quantitative disciplines.

In conclusion, Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market. With its comprehensive coverage of foundational and advanced techniques, this book provides a valuable resource for anyone looking to gain a competitive edge in the world of quantitative trading.

Weight: 622g
Dimension: 159 x 238 x 23 (mm)
ISBN-13: 9781119821328