Quantitative Trading, 2nd Edition

INDEX

• A
• Academic trading strategies, 11–12
• Actual performance, expected vs., 104–107
• AI (artificial intelligence), xii, 28–29
• Algorithmic trading, see Quantitative trading
• Algoseek, 41, 95
• Alpaca, 86, 95, 99
• Alpha decay, xii–xiii, 198
• Alternative trading systems, 85
• Amaranth Advisors, 129, 186, 193
• Annualized Sharpe ratio, 48–49
• Annualized standard deviation of returns, 49
• Anwar, Yaser, 28
• Application programming interface (API), 86, 94, 98–99
• Arbitrage pricing theory (APT), see Factor models
• Arithmetic mean, 112
• Array processing, in MATLAB, 199–203
• Artificial intelligence (AI), xii, 28–29
• assert function, MATLAB, 176–177
• Asset allocation, optimal, 189
• Augmented Dickey-Fuller test of cointegration, 149, 155
• Automated trading systems, 93–101
  • fully automated, 94, 98–100
  • growth with, 197
  • hiring consultants to build, 100–101
  • paper trading to test, 103–104
  • for part-time traders, 15
  • semiautomated, 94–98
  • software risk with, 125
  • and time commitment for quantitative trading, 5–7
• Averages, ensemble vs. time series, 127, 128
• Average daily volume, 101–102

• B
• backshift function, MATLAB, 181
• Backtesting, xvii, 33–79
  • of academic strategies, 11–12
  • common platforms for, 34–40
  • defined, 57–58
  • determining optimal holding period with, 170
  • execution and, 95, 100
  • of half-Kelly betting, 122–123
  • of high-frequency strategies, 188
  • historical databases for, 40–47
  • impact of survivorship bias on, 26–27
  • by independent traders, 3
  • of January effect, 175–179
  • of mean-reverting strategies, 135
  • minimum ...