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Finding Alphas: A Quantitative Approach to Building Trading Strategies

Igor Tulchinsky



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John Wiley & Sons Inc
27 September 2019
Investment & securities
Discover the ins and outs of designing predictive trading models Drawing on the expertise of WorldQuant's global network, this new edition of Finding Alphas: A Quantitative Approach to Building Trading Strategies contains significant changes and updates to the original material, with new and updated data and examples.

Nine chapters have been added about alphas - models used to make predictions regarding the prices of financial instruments. The new chapters cover topics including alpha correlation, controlling biases, exchange-traded funds, event-driven investing, index alphas, intraday data in alpha research, intraday trading, machine learning, and the triple axis plan for identifying alphas.

* Provides more references to the academic literature * Includes new, high-quality material * Organizes content in a practical and easy-to-follow manner * Adds new alpha examples with formulas and explanations If you're looking for the latest information on building trading strategies from a quantitative approach, this book has you covered.
Edited by:   Igor Tulchinsky
Imprint:   John Wiley & Sons Inc
Country of Publication:   United States
Edition:   2nd Edition
Dimensions:   Height: 235mm,  Width: 155mm,  Spine: 22mm
Weight:   590g
ISBN:   9781119571216
ISBN 10:   1119571219
Pages:   320
Publication Date:   27 September 2019
Audience:   Professional and scholarly ,  Undergraduate
Format:   Hardback
Publisher's Status:   Active
Preface xi Preface (to the Original Edition) xiii Acknowledgments xv About the WebSim Website xvii Part I Introduction 1 1 Introduction to Alpha Design 3 By Igor Tulchinsky 2 Perspectives on Alpha Research 7 By Geoffrey Lauprete 3 Cutting Losses 17 By Igor Tulchinsky Part II Design and Evaluation 23 4 Alpha Design 25 By Scott Bender and Yongfeng He 5 How to Develop an Alpha: A Case Study 31 By Pankaj Bakliwal and Hongzhi Chen 6 Data and Alpha Design 43 By Weijia Li 7 Turnover 49 By Pratik Patel 8 Alpha Correlation 61 By Chinh Dang and Crispin Bui 9 Backtest - Signal or Overfitting? 69 By Zhuangxi Fang and Peng Yan 10 Controlling Biases 77 By Anand Iyer and Aditya Prakash 11 The Triple-Axis Plan 83 By Nitish Maini 12 Techniques for Improving the Robustness of Alphas 89 By Michael Kozlov 13 Alpha and Risk Factors 95 By Peng Wan 14 Risk and Drawdowns 101 By Hammad Khan and Rebecca Lehman 15 Alphas from Automated Search 111 By Yu Huang and Varat Intaraprasonk 16 Machine Learning in Alpha Research 121 By Michael Kozlov 17 Thinking in Algorithms 127 By Sunny Mahajan Part III Extended Topics 133 18 Equity Price and Volume 135 By Cong Li and Huaiyu Zhou 19 Financial Statement Analysis 141 By Paul A. Griffin and Sunny Mahajan 20 Fundamental Analysis and Alpha Research 149 By Xinye Tang and Kailin Qi 21 Introduction to Momentum Alphas 155 By Zhiyu Ma, Arpit Agarwal, and Laszlo Borda 22 The Impact of News and Social Media on Stock Returns 159 By Wancheng Zhang 23 Stock Returns Information from the Stock Options Market 169 By Swastik Tiwari and Hardik Agarwal 24 Institutional Research 101: Analyst Reports 179 By Benjamin Ee, Hardik Agarwal, Shubham Goyal, Abhishek Panigrahy, and Anant Pushkar 25 Event-Driven Investing 195 By Prateek Srivastava 26 Intraday Data in Alpha Research 207 By Dusan Timotity 27 Intraday Trading 217 By Rohit Kumar Jha 28 Finding an Index Alpha 223 By Glenn DeSouza 29 ETFs and Alpha Research 231 By Mark YikChun Chan 30 Finding Alphas on Futures and Forwards 241 By Rohit Agarwal, Rebecca Lehman, and Richard Williams Part IV New Horizon - Websim 251 31 Introduction to WebSim 253 By Jeffrey Scott Part V A Final Word 263 32 The Seven Habits of Highly Successful Quants 265 By Richard Hu and Chalee Asavathiratham References 273 Index 291

IGOR TULCHINSKY is the Founder, Chairman, and CEO of WorldQuant, a global quantitative asset management firm, based in Old Greenwich, Connecticut, that he established in 2007 following 12 years as a statistical arbitrage portfolio manager at Millennium Management. Before joining Millennium, Tulchinsky was a venture capitalist, scientist at AT&T Bell Laboratories, video game programmer, and author. He holds a master's degree in Computer Science from the University of Texas, Austin, completed in a then-record nine months, and an MBA in Finance and Entrepreneurship from the Wharton School at the University of Pennsylvania. A strong believer in education, Tulchinsky is the founder of WorldQuant University, which offers an entirely free online MSc degree in financial engineering and an applied data science module.

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