Titlebook: Quantitative Investing; From Theory to Indus Lingjie Ma Textbook 2020 Springer Nature Switzerland AG 2020 quantitative.investing.R-programm

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How to Construct a Stock Selection Strategy: Multi-Factor Analysis,an we forecast stock returns? To answer this critical question, we first discuss market inefficiency and identify sources of return anomalies. We then show how to transform these fundamental sources into a multi-factor alpha model. Regarding related finance theory, we introduce the capital asset pri

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More on Stock Selection Strategy: Alpha Hunting, Risk Adjustment, and Nonparametric Diagnostics,apter, we continue to explore stock selection strategy with more advanced topics. In particular, we focus on alpha (new factor) hunting, risk adjustment, and nonparametric diagnostics. Regarding new alpha discovery, we present the guidance of IPARE. From a methodological perspective, we introduce th

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Portfolio Construction: From Alpha/Risk to Portfolio Weights,algorithms, and examples of a long only and a market neutral long-short portfolio. We also discuss backtesting and portfolio performance attribution. We introduce Harry Markowitz who made important contributions to modern portfolio theory. Regarding industry insights, we show how industry practition

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,Quantitative Investing with Tail Behavior—A Distributional Approach,he use of standard deviation for risk; alpha models, such as the use of OLS for weighting schemes; and modern portfolio theory, such as the mean–variance optimization. However, these are all based on the assumption that the first two moments will capture most information about asset returns, which i

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Is the Current US Stock Market Overvalued? Univariate Analysis, on investment and Student (William Sealy Gosset) on univariate analysis. We show nonnormality of asset returns and present an industry approach to outliers. In the last section, we introduce R and demonstrate simple calculations and plots.

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Portfolio Construction: From Alpha/Risk to Portfolio Weights,We introduce Harry Markowitz who made important contributions to modern portfolio theory. Regarding industry insights, we show how industry practitioners build MV portfolios with practical constraints. For R programming, we discuss the structure of R codes and functions.

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igures in investment and quantitative studies, so that readers can more fully understand the history of the discipline...This volume willbe particularly useful to advanced students and practitioners in finance and investments..978-3-030-47204-7978-3-030-47202-3