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This book provides readers with a systematic approach to quantitative investments and bridges the gap between theory and practice, equipping students to more seamlessly enter the world of industry. A successful quantitative investment strategy requires an individual to possess a deep understanding of the financial markets, investment theories and econometric modelings, as well as the ability to program and analyze real-world data sets.
In order to connect finance theories and practical industry experience, each chapter begins with a real-world finance case study. The rest of the chapter introduces fundamental insights and theories, and teaches readers to use statistical models and R programming to analyze real-world data, therefore grounding the learning process in application. Additionally, each chapter profiles significant figures in investment and quantitative studies, so that readers can more fully understand the history of the discipline.
This volume willbe particularly useful to advanced students and practitioners in finance and investments.
List of contents
- Introduction. - Is the Current US Stock Market Overvalued? Univariate Analysis. - What Is the Relationship Between the Chinese and US Stock Markets? Bivariate Analysis. - Howto Construct a Stock Selection Strategy: Multi-Factor Analysis. - More on Stock Selection Strategy: Alpha Hunting, Risk Adjustment, and Nonparametric Diagnostics. - Howto ForecastCommodity Price Movements: Time Series Models. - Portfolio Construction: From Alpha/Risk to Portfolio Weights. - Quantitative Investing with Tail Behavior-A Distributional Approach. - Quantamental Investment.
About the author
Dr. Lingjie Ma has 15 years of experience developing global multi-asset investment strategies. He has worked as both a head of research and as a portfolio manager in the investment industry, overseeing full-spectrum investment process and business management. He joined the University of Illinois at Chicago in 2016 as a clinical associate professor in finance. Dr. Ma is a frequent public speaker on quantitative investing and quantamental strategies.
