October 2011
Beginner
576 pages
16h 32m
English
Content preview from Equity Valuation and Portfolio ManagementBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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QUESTIONS
- What is the extent and purpose of human intervention in a quantitative investment management process?
- How are the methodologies utilized in economics different from those employed in the physical sciences?
- What is the common objective of all quantitative processes?
- What are the steps in the process for converting quantitative research into an implementable trading process?
- What is meant by “data snooping”?
- Why would it be prudent to test a quantitative model before it is implemented against an artificial data set formed from independent and identically distributed returns?
* Parts of this chapter are adapted from Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma, “Implementable Quantitative Research and Investment Strategies,” Journal of Alternative Investments 8, no. 2 (2005): 71-79.
1 David Leinweber, “Is Quantitative Investing Dead?” Pensions & Investments, February 8, 1999.
2 For a modern presentation of the status of market efficiency, see M. Hashem Pesaran, “Market Efficiency Today,” Working Paper 05.41, Institute of Economic Policy Research, 2005.
3 Andrew Lo, “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective,” Journal of Portfolio Management 30 (2004): 15–29.
4 Milton Friedman, Essays in Positive Economics (Chicago: University of Chicago Press, 1953).
5 The same considerations apply to other scientific domains ranging from biology, medicine, ecological studies, and so on. Our focus here is economics.
6 Rosario N. Mantegna ...
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