Quantitative Investing From Theory to Industry
This book provides readers with a systematic approach to quantitative investments and bridges the gap between theory and practice, equipping students to more seamlessly enter the world of industry. A successful quantitative investment strategy requires a
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Quantitative Investing From Theory to Industry
Quantitative Investing
Lingjie Ma
Quantitative Investing From Theory to Industry
Lingjie Ma University of Illinois at Chicago Chicago, IL, USA
ISBN 978-3-030-47201-6 ISBN 978-3-030-47202-3 (eBook) https://doi.org/10.1007/978-3-030-47202-3 © Springer Nature Switzerland AG 2020 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors, and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Springer imprint is published by the registered company Springer Nature Switzerland AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
To my wife, Jianping Zhuang
Preface
Is there a sound way to determine if the current US stock market is too hot? How can the relationship between the Chinese and US stock markets be evaluated through the use of data? Can one form a multi-factor stock selection strategy? What factors determine the price of oil and gold? Is the USD relatively weak compared to other currencies, if so what would be a proper strategy? What do most hedge/mutual funds do quantitatively to tackle the above issues? What are current innovative approaches? If one aspires to pursue a career in quantitative investments, what skill sets should he/she possess? This book attempts to answer the questions addressed above based on a scientific approach. Before any more details are presented, I would like to emphasize that a successful quantitative investment strategy is not easy, but neither is it impossible. A successful quantitative investment strategy requires four pillars: a deep understanding of financial markets, investment theories, and econometric modeling as well as proficiency in programming that deals with real-world data sets. A quantitative strategy is easy to fail if one of the four pillars is weak. This book aims to provide readers a systematic approach on quantitative investing, step by step, from theory to industry. Each of the nine chapters
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