151 Trading Strategies

Product Description




The book provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students.




Review


“If you want to work as a trader or quant on Wall Street, you have to walk the walk and talk the talk. This unique book is a comprehensive introduction to a wide variety of tried and tested trading strategies. I highly recommend a 152nd trading strategy called buy this book!” (Peter Carr, Chair of Finance and Risk Engineering Department, NYU’s Tandon School of Engineering; and 2010 Financial Engineer of the Year, International Association for Quantitative Finance & Sungard)
“This book is an encyclopedic guided tour of « quant » investment strategies, from the simplest ones (like trend following) to much more exotic ones using sophisticated derivative contracts. No claim is made about the profitability of these strategies: one knows all too well how much implementation details and transaction costs matter. But no quant trader can afford ignoring what’s out there, as a source of inspiration or as a benchmark for new ideas.” (Jean-Philippe Bouchaud, Chairman and Chief Scientist, Capital Fund Management; Professor, École Normale Supérieure; Member, French Academy of Sciences; and Co-Director, CFM-Imperial Institute of Quantitative Finance) 
“Zura Kakushadze and Juan Andrés Serur have created a masterful encyclopedia of quantitative trading strategies.  The authors offer us a rigorous but accessible treatment of the mathematical foundations of these strategies. The coverage is comprehensive, starting with simple and well-known strategies such as covered call and then moving naturally to strategies involving cryptocurrencies.  The supporting material such as a detailed glossary and an extensive list of references will make this book an essential reference for financial economists and investment professionals.” (Hossein Kazemi, Michael & Cheryl Philipp Endowed Professor of Finance, University of Massachusetts at Amherst; and Editor-in-Chief, The Journal of Alternative Investments) 
“The successful trading of financial instruments is both a science and an art, just as the efforts of a chef reflect both gastronomic artistry and the underlying chemical and thermal processes of cooking.  In 151 Trading Strategies financial traders are provided with a compendium of sound recipes, spanning the broad range of methods that can be applied to modern investment practice.   The exposition of both the mathematics and intuition of each described trade is clear and concise.   Readers will appreciate the inclusion of extensive computer code so as to reduce effort needed to implement any required calculations.” (Dan diBartolomeo, President, Northfield Information Systems; and Editor, Journal of Asset Management)
“A real tour de force―151 Trading Strategies provides the most comprehensive uncovering of popular hedge fund strategies. By revealing all the hedge funds’ secret sauce, Kakushadze and Serur have now rendered everything as beta-strategies. Time to lower ‘em fees!” (Jim Kyung-Soo Liew, Professor, Carey Business School, Johns Hopkins University; Advisory Board Member, The