Navigating the Factor Zoo

The Science of Quantitative Investing
1. Auflage 2024
ISBN: 978-1-032-76841-0
Verlag: Taylor & Francis Ltd

Buch, Englisch, 310 Seiten, Format (B × H): 157 mm x 234 mm, Gewicht: 468 g

Bridging the gap between theoretical asset pricing and industry practices in factors and factor investing, Zhang et al. provides a comprehensive treatment of factors, along with industry insights on practical factor development.

Chapters cover a wide array of topics, including the foundations of quantamentals, the intricacies of market beta, the significance of statistical moments, the principles of technical analysis, and the impact of market microstructure and liquidity on trading. Furthermore, it delves into the complexities of tail risk and behavioral finance, revealing how psychological factors affect market dynamics. The discussion extends to the sophisticated use of option trading data for predictive insights and the critical differentiation between outcome uncertainty and distribution uncertainty in financial decision-making. A standout feature of the book is its examination of machine learning's role in factor investing, detailing how it transforms data preprocessing, factor discovery, and model construction. Overall, this book provides a holistic view of contemporary financial markets, highlighting the challenges and opportunities in harnessing alternative data and machine learning to develop robust investment strategies.

This book would appeal to investment management professionals and trainees. It will also be of use to graduate and upper undergraduate students in quantitative finance, factor investing, asset management and/or trading.

Zielgruppe

Postgraduate, Professional Practice & Development, and Undergraduate Advanced

Autoren/Hrsg.

Shi, Chuan

Zhang, Michael

Lu, Tao

Fachgebiete

• Wirtschaftswissenschaften Wirtschaftswissenschaften Wirtschaft: Sachbuch, Ratgeber
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement

Inhaltsverzeichnis

Table of Contents

Preface

 

Chapter 1. Factor Investing

 

Chapter 2. Quantamentals

 

Chapter 3. Statistical Moments as Factors

 

Chapter 4. Market Beta

 

Chapter 5. Technical Analysis Factors

 

Chapter 6. Microstructure and Liquidity

 

Chapter 7. Tail Risk

 

Chapter 8. Behavioral Finance

 

Chapter 9. Option Information

 

Chapter 10. Uncertainty

 

Chapter 11. Alternative Data

 

Chapter 12. Machine Learning in Factor Investing

 

Epilogue

Über Autor(innen)

Michael Zhang is the founder of Super Quantum Fund. He has over 20 years of experience in quantitative investing. He publishes in the most prestigious academic journals and has been highly cited. He holds a PhD from MIT, an MSc, and two bachelor’s degrees from Tsinghua University.

Tao Lu is the CEO of Super Quantum Fund. He has extensive practical experience in portfolio management through quantitative methods and leading quantitative research teams. He holds a PhD from the Chinese University of Hong Kong and two bachelor’s degrees from Tsinghua University.

Chuan Shi is the chief data scientist at Beijing Liangxin Investment Management, specializing in factor investing, portfolio allocation, and risk management. He holds a PhD from MIT and bachelor's and master's degrees from Tsinghua University. He is the lead author of "Factor Investing: Methodology and Practice."