Finding Alphas: A Quantitative Approach to Building Trading Strategies

272 Pages·2015·10.39 MB·English

by  Igor Tulchinsky

Finding Alphas

FINDING ALPHAS
A Quantitative Approach to
Building Trading Strategies
Igor Tulchinsky et al.
WorldQuant Virtual Research Center
This edition fi rst published 2015
© 2015 Igor Tulchinsky et al., WorldQuant Virtual Research Center
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Dedicated to All at WorldQuant —
The Future of Trading

Contents
Preface xi
Acknowledgments xiii
About the WebSim™ Website xv
PART I INTRODUCTION 1
1 Introduction to Alpha Design 3
By Igor Tulchinsky
2 Alpha Genesis – The Life-Cycle of a Quantitative
Model of Financial Price Prediction 7
By Geoffrey Lauprete
3 Cutting Losses 13
By Igor Tulchinsky
PART II DESIGN AND EVALUATION 19
4 Alpha Design 21
By Scott Bender/Yongfeng He
5 How to Develop an Alpha. I: Logic with an Example 27
By Pankaj Bakliwal
6 How to Develop an Alpha. II: A Case Study 31
By Hongzhi Chen
7 Fundamental Analysis 43
By Xinye Tang/Kailin Qi
8 Equity Price and Volume 49
By Cong Li
9 Turnover 51
By Pratik Patel
viii Contents
10 Backtest – Signal or Overfi tting 55
By Peng Yan
11 Alpha and Risk Factors 61
By Peng Wan
12 The Relationship between Alpha and Portfolio Risk 65
By Ionut Aron
13 Risk and Drawdowns 71
By Hammad Khan
14 Data and Alpha Design 79
By Weijia Li
15 Statistical Arbitrage, Overfi tting, and Alpha Diversity 85
By Zhuangxi Fang
16 Techniques for Improving the Robustness of Alphas 89
By Michael Kozlov
17 Alphas from Automated Search 93
By Yu Huang
18 Algorithms and Special Techniques in Alpha Research 97
By Sunny Mahajan
PART III EXTENDED TOPICS 101
19 Impact of News and Social Media on Stock Returns 103
By Wancheng Zhang
20 Stock Returns Information from the Stock Options Market 109
By Swastik Tiwari
21 Introduction to Momentum Alphas 117
By Zhiyu Ma
22 Financial Statement Analysis 119
By Paul A. Griffi n
23 Institutional Research 101 127
By Benjamin Ee
24 Introduction to Futures Trading 145
By Rohit Agarwal
25 Alpha on Currency Forwards and Futures 151
By Richard Williams