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quantative investing
- 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 [...]
- Chapter 01 – An Illustrated History of Wired Markets
An Illustrated History of Wired Capital Markets
“Progress might have been all right once, but it has gone on too long.” — Ogden Nash
This chapter is based on a number of ever-evolving dinner and lunch talks I have given over many years, all called “Nerds on Wall Street” irrespective of their actual subject. Many financial conference [...]
- Chapter 06 – Stupid Data Miner Tricks
To Err Is Human. To Really Screw Up, You Need a Computer.
— Popular Campus T-shirt, circa 1980
Stupid Data Miner Tricks in Quantitative Finance
This chapter started out over 10 years ago as a set of joke slides showing silly, spurious correlations. Originally, my quantitative equity research group planned on deliberately abusing the genetic algorithm (see Chapter [...]
- Contents of “Nerds on Wall Street”
Foreword by Ted Aronson
Part 1 – Wired Markets
Chapter 1: An Illustrated History of Wired Markets
Chapter 2: Greatest Hits of Computation in Finance
Chapter 3: Algorithm Wars
Part 2 – Alpha as Life
Chapter 4: Where Does Alpha Come From?
Chapter 5: A Gentle Introduction to Computerized Investing
Chapter 6: Stupid Data Miner Tricks
Part 3 – Artificial Intelligence and Intelligence Amplification
Chapter [...]
