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quantitative finance
- Chapter 08 – Perils and Promise of Evolutionary Computation on Wall Street
Using Genetic Algorithms, Optimization Models, and Evolutionary Computation on Wall Street
“Be careful what you ask for — you might get it.”
My enthusiasm for machine learning, described at the end of the previous chapter, led me to kiss many artificial intelligence ( AI ) frogs. This included many flavors of inductive and explanation – based learning, [...]
- Chapter 07 – A Little Artificial Intelligence Goes a Long Way on Wall Street
A Little AI Goes a Long Way on Wall Street: Artificial Intelligence and Securities Trading
“If you give someone a program, you will frustrate them for a day; if you teach them how to program, you will frustrate them for a lifetime.”
This is a history and technical overview of one of the earliest artificial intelligence (AI) [...]
- Chapter 05 – A Gentle Introduction to Computerized Investing
Computerized Investing, Index Funds, Quantitative Investing, and Active Management
“Life would be so much easier if we only had the source code.” — Hacker proverb
The beginning of index investing in the 1970s was the result of a convergence of events, one of those ripe apple moments. Institutional investors began to use firms like A.G. Becker to actually [...]
- Chapter 04 – Where Does Alpha Come From?
Where Does Stock Alpha and Alpha Return Come From?
“Life Is Alpha. The Rest Is Details.” — Popular T-shirt at hedge fund manager events
There was a time not too long ago when, if you posed the question “Where does alpha come from?” to a roomful of academic financial economists, most of them would complain: “It’s a [...]
- Chapter 03 – Algorithm Wars
Algorithmic Trading Strategies and Automated Stock Trading
“How about a nice game of chess?” — WOPR computer in “War Games”
There used to be two market structures for U.S. equity traders to contend with: the NYSE (for listed stocks) and NASDAQ. Recent counts put the number at roughly 40. Many are sources of dark liquidity, which sounds [...]
- Chapter 02 – Greatest Hits of Computation in Finance
Computational Finance, Stock Market Analysis, and Investment Trading
“A computer does not substitute for judgment any more than a pencil substitutes for literacy. But writing without a pencil is no particular advantage.” – Robert McNamara
The Journal of Portfolio Management (JPM*) is one of the more upscale investment management publications around. For $500 a year, you get [...]
