Quant Basics 101: A Beginner’s Guide To Quantitative Trading
$35.00
Quant Basics 101 is designed primarily for students interested in pursuing a career in quantitative trading and/or sell-side researchers exploring the buy-side. It is not aimed at retail traders, though they may find some useful insights.
Quantitative Trading uses a combination of mathematical and statistical models, algorithms, and computational methods to systematically analyze financial data, identify trading opportunities, and automatically execute trading strategies.
Sitting at the intersection of high-level math, intricate analytics, and advanced technology, quantitative trading has a reputation for being a difficult subject, demanding a dedication understood only by ardent financial and tech aficionados.
The book serves as a foundational guide to understanding the principles of quantitative finance: it teaches the essential habits to prevent common errors and avoid obvious mistakes; it offers guidance on how to approach some standard problems; it describes a few elementary examples of quantitative strategies and pinpoints several interesting areas of research. The book deals with the building blocks of quantitative trading. At its core, the book is about Building Intuition.
Primary themes discussed in the book are the research, design, backtest, and implementation of quantitative strategies, including the portfolio construction problem, the importance of risk management, and the danger of overfitting. Other themes include the acquisition of data, standard linear techniques, fixed-income theory, and the trading of volatility.
The book serves as a reference and source of ideas and intuition for quantitative traders, portfolio managers, risk managers, financial economists and regulatory professionals, amongst others, as well as researchers in related areas.
Table of ContentsPreface
Notations
Lecture Guide
1. Toy Example(s)
1.In Doubt, Just Follow The Past 2.Discussion and Fixes 3.Variants: Trend-Following, Fund Replication, Equi-Vol 4.Changing Perspective 5.Interpretation: Algebraic Digression 6.Take-Aways
2. Back to Basics: Good Practice and Usual Mistakes
1.General Concepts and Notations 2.Constructing a Valid Backtest 3.Matters of Variances and Covariances 4.Execution: Fees, Slippage, Market Impact 5.Capital Requirement and Margin-to-Equity 6.Different Regions, Different Currencies 7.Good Practices and Take-Aways
3. (Over) Fitting is (Too) Easy
1.Inference and the Curse of Over-fitting 2.On the Maximization of Sharpe Ratios 3.Danger in the Numbers 4.Perspectives and Take-Aways
4. Everything (Almost) is Linear
1.Convolutions Everywhere 2.On the Equivalence of Standard Indicators 3.Linear Regressions 4.Linearity in Practice 5.Take-Aways
5. Risk Factor Models
1.Introduction 2.Standard Historical Models 3.Residuals, Betas, and the Hedging of Factors 4.Constructing Risk Models 5.Take-Aways
6. Portfolio Construction
1.General Concepts 2.Some Allocation Paradigms 3.Risk Factor Models and Portfolio Construction 4.Signal Prediction and Aggregation 5.Take-Aways
7. Data
1.Futures 2.Stocks (and Indices, ETNs, ETFs, Cryptos) 3.Options
8. A Taste of Fixed Income
1.Spot Rates, Discounting Curves, Forward Rates 2.Interest Rate Instruments: Futures and Swaps 3.Bond Basics
4.Carry
9. Stochastic Curve Models
1.Stochastic Curve Models 2.Stochastic Curve Models versus Spot Models 3.Application: the Schwartz-Smith Approach 4.Take-Aways
10. Beyond Black-Scholes
1.The Black-Scholes Paradigm 2.Variance: Replication and Properties 3.Volatility Stylized Facts 4.Quantitative Trading of Volatility 5.Take-Aways
11. Final Worlds
Appendices
A. The Basics of Algebra
B. On Models
C. Clustering
D. Risk Neutral Pricing
E. Random Proofs
References
ASIN : B0DR5KJP2K
Publisher : Independently published (December 19, 2024)
Language : English
Paperback : 485 pages
ISBN-13 : 979-8361936045
Item Weight : 2.29 pounds
Dimensions : 7 x 1.1 x 10 inches
Sergio –
I enjoyed reading this book and learned a lot from it!!This book is an invaluable resource for anyone looking to enter the world of quant finance with a solid foundation. It makes complex concepts accessible through a scientific, rigorous, and clear approach. The wide variety of topics covered provides a comprehensive overview while remaining beginner-friendly, making it ideal for students and newcomers. It establishes a well-structured framework to help readers build a strong understanding of the field and inspires further exploration. Whether you’re a student or simply curious about the world of quantitative finance, this book is the perfect introduction.
[...]Sonitram –
A very unique and practical book that I have yet to see in the market. Great for anyone starting their journey into quantitative trading and/or strategy development. As a quant structurer myself, I find it a very useful reference. It also very clearly lays out the process and pitfalls a quant trader/structurer should be aware of, and furthermore gives fresh food for thought.
[...]Client d’Amazon –
“Quant Basics 101: A Beginner’s Guide to Quantitative Trading” is an exceptionally clear and well-written book. As a non-native English speaker, I was pleasantly surprised by how fluid and enjoyable the reading experience was. The author has managed to make the content accessible without sacrificing scientific precision or rigor. While a basic understanding of mathematics is helpful, you don’t need to be an expert to grasp most of the material. Many concepts are explained in a simple and intuitive manner, and for those with more experience, some sections offer deeper insights that are both challenging and enriching.What truly sets this book apart is its comprehensive approach. Unlike other books that focus on one specific aspect of quantitative trading, “Quant Basics 101” covers the entire process, from designing to executing a trading strategy. Additionally, the author highlights many common mistakes and pitfalls to avoid, which can save beginners valuable time by steering them clear of frequent errors.Finally, the emphasis on keeping things simple and linear is particularly reassuring for beginners.In summary, this book is a must-read for any aspiring quantitative researcher. It provides the essential tools to confidently and clearly begin your journey in the field.
[...]John Mack –
Quant Basics 101 is based on the extensive experience of the author in designing trading algos but also managing and developing new traders. It is an excellent introduction to quantitative trading, particularly well-suited for beginners and aspiring quants. The author explains complex concepts clearly, covering key topics like algorithmic trading, statistical arbitrage, and risk management.What makes this book stand out is its highly practical approach. It not only provides a strong theoretical foundation but also insists on practical real-world issues, highlighting common pitfalls traders face and how to avoid them, making it especially valuable for those new to the field.If you are looking for a clear, practical guide to quantitative trading, this is a must-read.
[...]ML –
No other similar textbook available but the print quality is too bad
[...]There is probably no other textbook like this available on amazon or anywhere else. Thanks for the author to write the book. The reason for 3 star is that the sheets of the book is not white enough to provide enough contrast ratio and so it is painful to read, which is probably why a textbook of over 400 pages is sold only for $35 on amazon. I would strongly suggest republishing it as soon as possible with much better print quality, and of course raise the price. With the current quality, I am afraid there will be lots of returns. I just received the book and am not sure whether I will be able to read thru most of the book on its bad print quality. I may have to return it but I will try to keep it.
Ramon Verastegui –
A tour of force.
[...]This book is a genuine, unpretentious guide to quantitative trading, written by a serious practitioner with a strong research background. The author’s intent is clear: to enlighten and share knowledge that is often difficult to access unless you work at a fund, making it an invaluable resource for anyone interested in the field. Writing a book like this is a significant undertaking, specially for practitioners who are very pressed for time. This is the book I wish I had when I transitioned into a hedge fund.The book covers a wide range of topics—from working with financial data to building quantitative strategies, portfolio and risk management, and option pricing. It is filled with practical insights to navigate the common pitfalls encountered when implementation an investment process.In particular, I believe this book will be invaluable for:*Students of finance, financial engineering, and advanced MBAs who aim to transition into the finance corporate world, whether on the sell side (investment banks, insurance companies, etc.) or the buy side (hedge funds, asset managers, pension funds, etc.).*Academics, such as PhDs and professors, who want an insider’s view of the most relevant quantitative topics in the industry and a real understanding of how quantitative funds operate. You will find a lot of material to develop further into relevant research.*Practitioners, given the breadth of the book, as it serves as an excellent reference guide.In short, Florent has done an exceptional job of distilling years of experience into a comprehensive and practical resource. This book is a must-read for anyone looking to deepen their understanding of the quantitative side financial asset management or enhance their skills in this area.You would do well to buy two copies: One for the office, and one for home.