Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Berkeley, CA
Apress L. P.
2023
|
| Ausgabe: | 1st ed |
| Links: | https://ebookcentral.proquest.com/lib/hwr/detail.action?docID=30736797 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Umfang: | 1 Online-Ressource (341 Seiten) |
| ISBN: | 9781484296752 |
Internformat
MARC
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| 245 | 1 | 0 | |a Quantitative Trading Strategies Using Python |b Technical Analysis, Statistical Testing, and Machine Learning |
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| 264 | 1 | |a Berkeley, CA |b Apress L. P. |c 2023 | |
| 264 | 4 | |c ©2023 | |
| 300 | |a 1 Online-Ressource (341 Seiten) | ||
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| 505 | 8 | |a Intro -- Table of Contents -- About the Author -- About the Technical Reviewer -- Chapter 1: Quantitative Trading: An Introduction -- Overview of Quantitative Trading -- Model Development Workflow -- Institutional Algorithmic Trading -- Being a Quant Trader -- Major Asset Classes and Derivatives -- Grouping Tradable Assets -- Common Trading Avenues and Steps -- Market Structures -- Major Types of Buy-Side Stock Investors -- Market Making -- Scalping -- Portfolio Rebalancing -- Getting Started with Financial Data Analysis -- Summarizing Stock Prices -- Downloading Stock Price Data -- Visualizing Stock Price Data -- Summary -- Exercises -- Chapter 2: Electronic Market -- Introducing Electronic Market -- Electronic Order -- Proprietary and Agency Trading -- Order Matching Systems -- Market Order -- Limit Order -- Limit Order Book -- Display vs. Non-display Orders -- Stop Order -- Stop-Limit Order -- Pegged Order -- Trailing Stop Order -- Market If Touched Order -- Summarizing Major Types of Orders -- More Order Types: Limit and Cancelation -- Price Impact -- Order Flow -- Working with LOB Data -- Understanding Label Distribution -- Understanding Price-Volume Data -- Visualizing Price Movement -- Summary -- Exercises -- Chapter 3: Forward and Futures Contracts -- Introducing Forward and Futures Contracts -- Parameters of a Futures Contract -- Hedging and Speculation -- Obligations at Maturity -- Leverage in a Futures Contract -- Clearing House -- Mark-to-Market -- Pricing Forward Contract -- Pricing Futures Contract -- Contango and Backwardation -- Working with Futures Data -- Adding Technical Indicators -- Summary -- Exercises -- Chapter 4: Understanding Risk and Return -- Risk and Return Trade-Off -- Analyzing Returns -- Working with Dummy Returns -- The 1+R Format -- The Terminal Return -- Stock Return with Dividends -- Multiperiod Return | |
| 505 | 8 | |a Annualizing Returns -- Calculating Single-Period Returns from Price Data -- Calculating Two-Period Terminal Return -- Calculating Annualized Returns -- Analyzing Risk -- Introducing Variance and Standard Deviation -- Annualizing Volatility -- Combining Risk and Return via the Sharpe Ratio -- Working with Stock Price Data -- Calculating the Mean, Variance, and Standard Deviation -- Calculating the Annualized Volatility -- Calculating the Annualized Returns -- Calculating the Sharpe Ratio -- Summary -- Exercises -- Chapter 5: Trend-Following Strategy -- Working with Log Returns -- Analyzing Stock Prices Using Log Returns -- Introducing Trend Trading -- Understanding Technical Indicators -- Introducing Moving Averages -- Delving into Simple Moving Averages -- Delving into Exponential Moving Averages -- Implementing the Trend-Following Strategy -- Summary -- Exercises -- Chapter 6: Momentum Trading Strategy -- Introducing Momentum Trading -- Diving Deeper into Momentum Trading -- Contrasting with the Trend-Following Strategy -- Observing the Role of Lookback Windows -- More on Trend Following -- Implementing the Momentum Trading Strategy -- Obtaining DJI Stock Symbols -- Downloading Stock Prices -- Calculating Monthly Returns -- Calculating the Six-Month Terminal Return -- Generating Trading Signals -- Evaluating Out-of-Sample Performance -- Comparing with the Buy-and-Hold Strategy -- Summary -- Exercises -- Chapter 7: Backtesting a Trading Strategy -- Introducing Backtesting -- Caveats of Backtesting -- Understanding Maximum Drawdown -- The Downside of Drawdown Risk -- Calculating the Max Drawdown -- Backtesting the Trend-Following Strategy -- Summary -- Exercises -- Chapter 8: Statistical Arbitrage with Hypothesis Testing -- Statistical Arbitrage -- Pairs Trading -- Cointegration -- Stationarity -- Test for Cointegration | |
| 505 | 8 | |a Correlation and Cointegration -- Implementing the Pairs Trading Strategy -- Identifying Cointegrated Pairs of Stocks -- Testing Pairwise Cointegration -- Obtaining the Spread -- Converting to Z-Scores -- Formulating the Trading Strategy -- Summary -- Exercises -- Chapter 9: Optimizing Trading Strategies with Bayesian Optimization -- Optimizing Trading Strategies -- Parametric Trading Strategies -- More on Optimization -- Global Optimization -- The Objective Function -- Bayesian Optimization -- Gaussian Process -- Acquisition Function -- EI and UCB -- The Full BO Loop -- Optimizing the Pairs Trading Strategy -- Trading Strategy Performance As the Black-Box Function -- Generating Training Set for Bayesian Optimization -- Implementing the Gaussian Process Model -- Guiding the Sequential Search by Maximizing the Acquisition Function -- Performing Sequential Search -- Summary -- Exercises -- Chapter 10: Pairs Trading Using Machine Learning -- Machine Learning in Pairs Trading -- Machine Learning Workflow -- Support Vector Machine -- Random Forest -- Neural Network -- Implementing the Pairs Trading Strategy Using Machine Learning -- Feature Engineering -- Pairs Trading Using SVM -- Pairs Trading Using Random Forest -- Pairs Trading Using Neural Networks -- Summary -- Exercises -- Index | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Liu, Peng |t Quantitative Trading Strategies Using Python |d Berkeley, CA : Apress L. P.,c2023 |z 9781484296745 |
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Datensatz im Suchindex
| _version_ | 1820967540936933376 |
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| adam_text | |
| any_adam_object | |
| author | Liu, Peng |
| author_facet | Liu, Peng |
| author_role | aut |
| author_sort | Liu, Peng |
| author_variant | p l pl |
| building | Verbundindex |
| bvnumber | BV050100616 |
| collection | ZDB-30-PQE |
| contents | Intro -- Table of Contents -- About the Author -- About the Technical Reviewer -- Chapter 1: Quantitative Trading: An Introduction -- Overview of Quantitative Trading -- Model Development Workflow -- Institutional Algorithmic Trading -- Being a Quant Trader -- Major Asset Classes and Derivatives -- Grouping Tradable Assets -- Common Trading Avenues and Steps -- Market Structures -- Major Types of Buy-Side Stock Investors -- Market Making -- Scalping -- Portfolio Rebalancing -- Getting Started with Financial Data Analysis -- Summarizing Stock Prices -- Downloading Stock Price Data -- Visualizing Stock Price Data -- Summary -- Exercises -- Chapter 2: Electronic Market -- Introducing Electronic Market -- Electronic Order -- Proprietary and Agency Trading -- Order Matching Systems -- Market Order -- Limit Order -- Limit Order Book -- Display vs. Non-display Orders -- Stop Order -- Stop-Limit Order -- Pegged Order -- Trailing Stop Order -- Market If Touched Order -- Summarizing Major Types of Orders -- More Order Types: Limit and Cancelation -- Price Impact -- Order Flow -- Working with LOB Data -- Understanding Label Distribution -- Understanding Price-Volume Data -- Visualizing Price Movement -- Summary -- Exercises -- Chapter 3: Forward and Futures Contracts -- Introducing Forward and Futures Contracts -- Parameters of a Futures Contract -- Hedging and Speculation -- Obligations at Maturity -- Leverage in a Futures Contract -- Clearing House -- Mark-to-Market -- Pricing Forward Contract -- Pricing Futures Contract -- Contango and Backwardation -- Working with Futures Data -- Adding Technical Indicators -- Summary -- Exercises -- Chapter 4: Understanding Risk and Return -- Risk and Return Trade-Off -- Analyzing Returns -- Working with Dummy Returns -- The 1+R Format -- The Terminal Return -- Stock Return with Dividends -- Multiperiod Return Annualizing Returns -- Calculating Single-Period Returns from Price Data -- Calculating Two-Period Terminal Return -- Calculating Annualized Returns -- Analyzing Risk -- Introducing Variance and Standard Deviation -- Annualizing Volatility -- Combining Risk and Return via the Sharpe Ratio -- Working with Stock Price Data -- Calculating the Mean, Variance, and Standard Deviation -- Calculating the Annualized Volatility -- Calculating the Annualized Returns -- Calculating the Sharpe Ratio -- Summary -- Exercises -- Chapter 5: Trend-Following Strategy -- Working with Log Returns -- Analyzing Stock Prices Using Log Returns -- Introducing Trend Trading -- Understanding Technical Indicators -- Introducing Moving Averages -- Delving into Simple Moving Averages -- Delving into Exponential Moving Averages -- Implementing the Trend-Following Strategy -- Summary -- Exercises -- Chapter 6: Momentum Trading Strategy -- Introducing Momentum Trading -- Diving Deeper into Momentum Trading -- Contrasting with the Trend-Following Strategy -- Observing the Role of Lookback Windows -- More on Trend Following -- Implementing the Momentum Trading Strategy -- Obtaining DJI Stock Symbols -- Downloading Stock Prices -- Calculating Monthly Returns -- Calculating the Six-Month Terminal Return -- Generating Trading Signals -- Evaluating Out-of-Sample Performance -- Comparing with the Buy-and-Hold Strategy -- Summary -- Exercises -- Chapter 7: Backtesting a Trading Strategy -- Introducing Backtesting -- Caveats of Backtesting -- Understanding Maximum Drawdown -- The Downside of Drawdown Risk -- Calculating the Max Drawdown -- Backtesting the Trend-Following Strategy -- Summary -- Exercises -- Chapter 8: Statistical Arbitrage with Hypothesis Testing -- Statistical Arbitrage -- Pairs Trading -- Cointegration -- Stationarity -- Test for Cointegration Correlation and Cointegration -- Implementing the Pairs Trading Strategy -- Identifying Cointegrated Pairs of Stocks -- Testing Pairwise Cointegration -- Obtaining the Spread -- Converting to Z-Scores -- Formulating the Trading Strategy -- Summary -- Exercises -- Chapter 9: Optimizing Trading Strategies with Bayesian Optimization -- Optimizing Trading Strategies -- Parametric Trading Strategies -- More on Optimization -- Global Optimization -- The Objective Function -- Bayesian Optimization -- Gaussian Process -- Acquisition Function -- EI and UCB -- The Full BO Loop -- Optimizing the Pairs Trading Strategy -- Trading Strategy Performance As the Black-Box Function -- Generating Training Set for Bayesian Optimization -- Implementing the Gaussian Process Model -- Guiding the Sequential Search by Maximizing the Acquisition Function -- Performing Sequential Search -- Summary -- Exercises -- Chapter 10: Pairs Trading Using Machine Learning -- Machine Learning in Pairs Trading -- Machine Learning Workflow -- Support Vector Machine -- Random Forest -- Neural Network -- Implementing the Pairs Trading Strategy Using Machine Learning -- Feature Engineering -- Pairs Trading Using SVM -- Pairs Trading Using Random Forest -- Pairs Trading Using Neural Networks -- Summary -- Exercises -- Index |
| ctrlnum | (ZDB-30-PQE)EBC30736797 (ZDB-30-PAD)EBC30736797 (ZDB-89-EBL)EBL30736797 (OCoLC)1397574030 (DE-599)BVBBV050100616 |
| dewey-full | 332.63228 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63228 |
| dewey-search | 332.63228 |
| dewey-sort | 3332.63228 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1st ed |
| format | Electronic eBook |
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| id | DE-604.BV050100616 |
| illustrated | Not Illustrated |
| indexdate | 2025-01-11T15:39:34Z |
| institution | BVB |
| isbn | 9781484296752 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-035437778 |
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| physical | 1 Online-Ressource (341 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2023 |
| publishDateSearch | 2023 |
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| publisher | Apress L. P. |
| record_format | marc |
| spelling | Liu, Peng Verfasser aut Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning 1st ed Berkeley, CA Apress L. P. 2023 ©2023 1 Online-Ressource (341 Seiten) txt rdacontent c rdamedia cr rdacarrier Description based on publisher supplied metadata and other sources Intro -- Table of Contents -- About the Author -- About the Technical Reviewer -- Chapter 1: Quantitative Trading: An Introduction -- Overview of Quantitative Trading -- Model Development Workflow -- Institutional Algorithmic Trading -- Being a Quant Trader -- Major Asset Classes and Derivatives -- Grouping Tradable Assets -- Common Trading Avenues and Steps -- Market Structures -- Major Types of Buy-Side Stock Investors -- Market Making -- Scalping -- Portfolio Rebalancing -- Getting Started with Financial Data Analysis -- Summarizing Stock Prices -- Downloading Stock Price Data -- Visualizing Stock Price Data -- Summary -- Exercises -- Chapter 2: Electronic Market -- Introducing Electronic Market -- Electronic Order -- Proprietary and Agency Trading -- Order Matching Systems -- Market Order -- Limit Order -- Limit Order Book -- Display vs. Non-display Orders -- Stop Order -- Stop-Limit Order -- Pegged Order -- Trailing Stop Order -- Market If Touched Order -- Summarizing Major Types of Orders -- More Order Types: Limit and Cancelation -- Price Impact -- Order Flow -- Working with LOB Data -- Understanding Label Distribution -- Understanding Price-Volume Data -- Visualizing Price Movement -- Summary -- Exercises -- Chapter 3: Forward and Futures Contracts -- Introducing Forward and Futures Contracts -- Parameters of a Futures Contract -- Hedging and Speculation -- Obligations at Maturity -- Leverage in a Futures Contract -- Clearing House -- Mark-to-Market -- Pricing Forward Contract -- Pricing Futures Contract -- Contango and Backwardation -- Working with Futures Data -- Adding Technical Indicators -- Summary -- Exercises -- Chapter 4: Understanding Risk and Return -- Risk and Return Trade-Off -- Analyzing Returns -- Working with Dummy Returns -- The 1+R Format -- The Terminal Return -- Stock Return with Dividends -- Multiperiod Return Annualizing Returns -- Calculating Single-Period Returns from Price Data -- Calculating Two-Period Terminal Return -- Calculating Annualized Returns -- Analyzing Risk -- Introducing Variance and Standard Deviation -- Annualizing Volatility -- Combining Risk and Return via the Sharpe Ratio -- Working with Stock Price Data -- Calculating the Mean, Variance, and Standard Deviation -- Calculating the Annualized Volatility -- Calculating the Annualized Returns -- Calculating the Sharpe Ratio -- Summary -- Exercises -- Chapter 5: Trend-Following Strategy -- Working with Log Returns -- Analyzing Stock Prices Using Log Returns -- Introducing Trend Trading -- Understanding Technical Indicators -- Introducing Moving Averages -- Delving into Simple Moving Averages -- Delving into Exponential Moving Averages -- Implementing the Trend-Following Strategy -- Summary -- Exercises -- Chapter 6: Momentum Trading Strategy -- Introducing Momentum Trading -- Diving Deeper into Momentum Trading -- Contrasting with the Trend-Following Strategy -- Observing the Role of Lookback Windows -- More on Trend Following -- Implementing the Momentum Trading Strategy -- Obtaining DJI Stock Symbols -- Downloading Stock Prices -- Calculating Monthly Returns -- Calculating the Six-Month Terminal Return -- Generating Trading Signals -- Evaluating Out-of-Sample Performance -- Comparing with the Buy-and-Hold Strategy -- Summary -- Exercises -- Chapter 7: Backtesting a Trading Strategy -- Introducing Backtesting -- Caveats of Backtesting -- Understanding Maximum Drawdown -- The Downside of Drawdown Risk -- Calculating the Max Drawdown -- Backtesting the Trend-Following Strategy -- Summary -- Exercises -- Chapter 8: Statistical Arbitrage with Hypothesis Testing -- Statistical Arbitrage -- Pairs Trading -- Cointegration -- Stationarity -- Test for Cointegration Correlation and Cointegration -- Implementing the Pairs Trading Strategy -- Identifying Cointegrated Pairs of Stocks -- Testing Pairwise Cointegration -- Obtaining the Spread -- Converting to Z-Scores -- Formulating the Trading Strategy -- Summary -- Exercises -- Chapter 9: Optimizing Trading Strategies with Bayesian Optimization -- Optimizing Trading Strategies -- Parametric Trading Strategies -- More on Optimization -- Global Optimization -- The Objective Function -- Bayesian Optimization -- Gaussian Process -- Acquisition Function -- EI and UCB -- The Full BO Loop -- Optimizing the Pairs Trading Strategy -- Trading Strategy Performance As the Black-Box Function -- Generating Training Set for Bayesian Optimization -- Implementing the Gaussian Process Model -- Guiding the Sequential Search by Maximizing the Acquisition Function -- Performing Sequential Search -- Summary -- Exercises -- Chapter 10: Pairs Trading Using Machine Learning -- Machine Learning in Pairs Trading -- Machine Learning Workflow -- Support Vector Machine -- Random Forest -- Neural Network -- Implementing the Pairs Trading Strategy Using Machine Learning -- Feature Engineering -- Pairs Trading Using SVM -- Pairs Trading Using Random Forest -- Pairs Trading Using Neural Networks -- Summary -- Exercises -- Index Erscheint auch als Druck-Ausgabe Liu, Peng Quantitative Trading Strategies Using Python Berkeley, CA : Apress L. P.,c2023 9781484296745 |
| spellingShingle | Liu, Peng Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning Intro -- Table of Contents -- About the Author -- About the Technical Reviewer -- Chapter 1: Quantitative Trading: An Introduction -- Overview of Quantitative Trading -- Model Development Workflow -- Institutional Algorithmic Trading -- Being a Quant Trader -- Major Asset Classes and Derivatives -- Grouping Tradable Assets -- Common Trading Avenues and Steps -- Market Structures -- Major Types of Buy-Side Stock Investors -- Market Making -- Scalping -- Portfolio Rebalancing -- Getting Started with Financial Data Analysis -- Summarizing Stock Prices -- Downloading Stock Price Data -- Visualizing Stock Price Data -- Summary -- Exercises -- Chapter 2: Electronic Market -- Introducing Electronic Market -- Electronic Order -- Proprietary and Agency Trading -- Order Matching Systems -- Market Order -- Limit Order -- Limit Order Book -- Display vs. Non-display Orders -- Stop Order -- Stop-Limit Order -- Pegged Order -- Trailing Stop Order -- Market If Touched Order -- Summarizing Major Types of Orders -- More Order Types: Limit and Cancelation -- Price Impact -- Order Flow -- Working with LOB Data -- Understanding Label Distribution -- Understanding Price-Volume Data -- Visualizing Price Movement -- Summary -- Exercises -- Chapter 3: Forward and Futures Contracts -- Introducing Forward and Futures Contracts -- Parameters of a Futures Contract -- Hedging and Speculation -- Obligations at Maturity -- Leverage in a Futures Contract -- Clearing House -- Mark-to-Market -- Pricing Forward Contract -- Pricing Futures Contract -- Contango and Backwardation -- Working with Futures Data -- Adding Technical Indicators -- Summary -- Exercises -- Chapter 4: Understanding Risk and Return -- Risk and Return Trade-Off -- Analyzing Returns -- Working with Dummy Returns -- The 1+R Format -- The Terminal Return -- Stock Return with Dividends -- Multiperiod Return Annualizing Returns -- Calculating Single-Period Returns from Price Data -- Calculating Two-Period Terminal Return -- Calculating Annualized Returns -- Analyzing Risk -- Introducing Variance and Standard Deviation -- Annualizing Volatility -- Combining Risk and Return via the Sharpe Ratio -- Working with Stock Price Data -- Calculating the Mean, Variance, and Standard Deviation -- Calculating the Annualized Volatility -- Calculating the Annualized Returns -- Calculating the Sharpe Ratio -- Summary -- Exercises -- Chapter 5: Trend-Following Strategy -- Working with Log Returns -- Analyzing Stock Prices Using Log Returns -- Introducing Trend Trading -- Understanding Technical Indicators -- Introducing Moving Averages -- Delving into Simple Moving Averages -- Delving into Exponential Moving Averages -- Implementing the Trend-Following Strategy -- Summary -- Exercises -- Chapter 6: Momentum Trading Strategy -- Introducing Momentum Trading -- Diving Deeper into Momentum Trading -- Contrasting with the Trend-Following Strategy -- Observing the Role of Lookback Windows -- More on Trend Following -- Implementing the Momentum Trading Strategy -- Obtaining DJI Stock Symbols -- Downloading Stock Prices -- Calculating Monthly Returns -- Calculating the Six-Month Terminal Return -- Generating Trading Signals -- Evaluating Out-of-Sample Performance -- Comparing with the Buy-and-Hold Strategy -- Summary -- Exercises -- Chapter 7: Backtesting a Trading Strategy -- Introducing Backtesting -- Caveats of Backtesting -- Understanding Maximum Drawdown -- The Downside of Drawdown Risk -- Calculating the Max Drawdown -- Backtesting the Trend-Following Strategy -- Summary -- Exercises -- Chapter 8: Statistical Arbitrage with Hypothesis Testing -- Statistical Arbitrage -- Pairs Trading -- Cointegration -- Stationarity -- Test for Cointegration Correlation and Cointegration -- Implementing the Pairs Trading Strategy -- Identifying Cointegrated Pairs of Stocks -- Testing Pairwise Cointegration -- Obtaining the Spread -- Converting to Z-Scores -- Formulating the Trading Strategy -- Summary -- Exercises -- Chapter 9: Optimizing Trading Strategies with Bayesian Optimization -- Optimizing Trading Strategies -- Parametric Trading Strategies -- More on Optimization -- Global Optimization -- The Objective Function -- Bayesian Optimization -- Gaussian Process -- Acquisition Function -- EI and UCB -- The Full BO Loop -- Optimizing the Pairs Trading Strategy -- Trading Strategy Performance As the Black-Box Function -- Generating Training Set for Bayesian Optimization -- Implementing the Gaussian Process Model -- Guiding the Sequential Search by Maximizing the Acquisition Function -- Performing Sequential Search -- Summary -- Exercises -- Chapter 10: Pairs Trading Using Machine Learning -- Machine Learning in Pairs Trading -- Machine Learning Workflow -- Support Vector Machine -- Random Forest -- Neural Network -- Implementing the Pairs Trading Strategy Using Machine Learning -- Feature Engineering -- Pairs Trading Using SVM -- Pairs Trading Using Random Forest -- Pairs Trading Using Neural Networks -- Summary -- Exercises -- Index |
| title | Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning |
| title_auth | Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning |
| title_exact_search | Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning |
| title_full | Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning |
| title_fullStr | Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning |
| title_full_unstemmed | Quantitative Trading Strategies Using Python Technical Analysis, Statistical Testing, and Machine Learning |
| title_short | Quantitative Trading Strategies Using Python |
| title_sort | quantitative trading strategies using python technical analysis statistical testing and machine learning |
| title_sub | Technical Analysis, Statistical Testing, and Machine Learning |
| work_keys_str_mv | AT liupeng quantitativetradingstrategiesusingpythontechnicalanalysisstatisticaltestingandmachinelearning |