Inside the Black Box: A Simple Guide to Quantitative and by Rishi K. Narang

By Rishi K. Narang

Uploader's Note:: I ripped this publication chapter-by-chapter from Wiley's on-line library, merged it again and bookmarked it. I took the canopy picture from Wiley's personal web site (this is why it's small).

New version of e-book that demystifies quant and algo trading
In this up to date version of his bestselling booklet, Rishi ok Narang bargains in a simple, nontechnical style—supplemented by means of real-world examples and informative anecdotes—a trustworthy source takes you on an in depth travel in the course of the black field. He skillfully sheds mild upon the paintings that quants do, lifting the veil of puzzle round quantitative buying and selling and permitting a person attracted to doing so that you can comprehend quants and their suggestions. This re-creation contains details on excessive Frequency Trading.* bargains an replace at the bestselling e-book for explaining in non-mathematical phrases what quant and algo buying and selling are and the way they work
* presents key details for traders to guage the simplest hedge fund investments
* Explains how quant thoughts healthy right into a portfolio, why they're worthy, and the way to judge a quant manager

This new version of Inside the Black Box explains quant making an investment with no the jargon and is going a ways towards instructing funding execs.

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Additional info for Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading (2nd Edition) (Wiley Finance)

Sample text

Given data, quants can perform research, which usually involves some form of testing or simulation. Through research, the quant can ascertain whether and how a quant strategy works. We also note that each of the other modules in our schematic, when built correctly, usually requires a great deal of research. 3. SUMMARY Quants are perhaps not so mysterious as is generally supposed. They tend to start with ideas that any reasonable observer of the markets might also have, but rather than using anecdotal, experiential evidence—or worse, simply assuming that their ideas are true—quants use market data to feed a research process to determine whether their ideas in fact hold true over time.

First is to look at the options markets to determine sentiment on the underlying. There are two separate “straightforward” ideas to explore here. One is to look at the volume of puts and calls, and to use this as an indicator of sentiment. If puts have higher volumes relative to calls than they normally do, it might be an indicator that investors are worried about a downturn. If puts have lower volumes versus calls than normal, it might be a bullish sentiment indicator. A second example of options‐based sentiment in equities utilizes the implied volatilities of puts versus calls.

It is natural to see some level of difference in the implied volatilities of puts versus calls. This is partially in recognition of the habit of stocks to move down quickly and up slowly, which would indicate that downside volatility is higher than upside volatility, which in turn causes the seller of a put option to demand a higher price (and therefore implied volatility) than would be demanded by the seller of a call option that is equally far out of the money (or in the case that they are both at the money).

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