Quantitative Portfolio Management

Index

• Accounting ratio, 12, 63
• Acquisition premium, 14
• Activation function, 54
• AdaBoost, 101
• Additive model, 65, 94
• Adjustment factor, 3
• Affinity propagation, 145
• Agent-based models, 120
• AlexNet, 59
• Algebraic Riccati equation, 208
• Alpha, xix
• Alpha pool, 19, 140, 148
• Alternative data, 18
• Amazon, 46, 117, 147, 219
• Amazon EC2, 114
• Amazon Web Services (AWS), 114
• American Insurance Group (AIG), 25
• Analyst estimates, 13
• Anderson localization, 95
• Apache Hadoop, 231
• Apache Parquet, 231
• Application programming interface (API), 11, 219
• Arnold principle, 152
• Artificial creativity, 62
• Artificial intelligence (AI), 62
• arXiv, xxiv, 241
• Attention network, 61
• Augmented Lagrangian method, 72
• August '07, 166
• Autoencoder, 47, 60, 61
• AutoML, 66, 69, 112, 229

• Backfitting algorithm, 65
• Backtest, 227
• Bagging, 145
• Bandwidth, 83
• Basket trading, 196
• Batch auction, 242
• Batch learning, 48, 98
• Bayes' theorem, 27, 34
• Bayesian inference, 35
• Bear Stearns, 25
• Bellman principle of optimality, 209
• Benchmark price, 172
• Benign overfitting, 50, 51, 96
• Bias-variance tradeoff, 38, 84
• Bilingual code, 235
• Black's factor of two, 8
• Black-Scholes model, 8
• Blessing of compositionality, 94
• Blessing of dimensionality, 32
• Bloomberg, 2, 244
• Bloomberg terminal, 3
• Boltzmann machine, 58
• Boosted trees, 66
• Boosting, xxiii, 42, 65, 94, 100, 138
• Brain, 57
• Brain drain, 239
• Broker-dealer, 1, 3, 16, 172, 196, 219, 224, 225, 237
• Bubble, 116, 166, 169
• Bug, 2, 10, 175, 229, 231, 232

• C++ Standard Library, 236
• C++20, 215, 230