Navigating the Factor Zoo - The Science of Quantitative Investing

Bridging the gap between theoretical asset pricing and industry practices in factors and factor investing, Zhang et al. provides a comprehensive treatment of factors, along with industry insights on practical factor development. A useful resource for investment management professionals and students in quantitative finance.

List of contents

Table of Contents
Preface
Chapter 1. Factor Investing
Chapter 2. Quantamentals
Chapter 3. Statistical Moments as Factors
Chapter 4. Market Beta
Chapter 5. Technical Analysis Factors
Chapter 6. Microstructure and Liquidity
Chapter 7. Tail Risk
Chapter 8. Behavioral Finance
Chapter 9. Option Information
Chapter 10. Uncertainty
Chapter 11. Alternative Data
Chapter 12. Machine Learning in Factor Investing
Epilogue

About the author

Michael Zhang is the founder of Super Quantum Fund. He has over 20 years of experience in quantitative investing. He publishes in the most prestigious academic journals and has been highly cited. He holds a PhD from MIT, an MSc, and two bachelor's degrees from Tsinghua University.
Tao Lu is the CEO of Super Quantum Fund. He has extensive practical experience in portfolio management through quantitative methods and leading quantitative research teams. He holds a PhD from the Chinese University of Hong Kong and two bachelor's degrees from Tsinghua University.
Chuan Shi is the chief data scientist at Beijing Liangxin Investment Management, specializing in factor investing, portfolio allocation, and risk management. He holds a PhD from MIT and bachelor's and master's degrees from Tsinghua University. He is the lead author of "Factor Investing: Methodology and Practice."

Summary

Bridging the gap between theoretical asset pricing and industry practices in factors and factor investing, Zhang et al. provides a comprehensive treatment of factors, along with industry insights on practical factor development. A useful resource for investment management professionals and students in quantitative finance.

Product details

• Authors: Tao Lu, Chuan Shi, Michael Zhang, Michael Lu Zhang, Zhang Michael
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 04.12.2024
• EAN: 9781032768434
• ISBN: 978-1-0-3276843-4
• No. of pages: 296
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries; Business & Economics / Investments & Securities / General, MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Applied, BUSINESS & ECONOMICS / Econometrics, Economic statistics, Probability & statistics, Applied mathematics, Investment & securities, Econometrics, Investment and securities, Probability and statistics, Econometrics and economic statistics