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Kakushadze Zura. - 151 Trading Strategies

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Book:
151 Trading Strategies
Author:
Kakushadze Zura / Serur Juan Andrs
Publisher:
Springer International Publishing : Imprint : Palgrave Macmillan
Genre:
Books / Business
Year:
2018
City:
Cham
Rating:
5 / 5
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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.;1. Introduction -- 2. Options -- 3. Stocks -- 4. Exchange-traded funds (ETFs) -- 5. Fixed Income -- 6. Indexes -- 7. Volatility -- 8. Foreign Exchange (FX) -- 9. Commodities -- 10. Futures -- 11. Structured Assets -- 12. Convertibles -- 13. Tax Arbitrage -- 14. Miscellaneous Assets -- 15. Distressed Assets -- 16. Real Estate -- 17. Cash -- 18. Cryptocurrencies -- 19. Global Macro -- 20. Infrastructure.

Kakushadze Zura.: author's other books

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Zura Kakushadze and Juan Andrs Serur

151 Trading Strategies

Zura Kakushadze

Quantigic Solutions LLC, Stamford, CT, USA

Juan Andrs Serur

Universidad del CEMA, Buenos Aires, Argentina

ISBN 978-3-030-02791-9 e-ISBN 978-3-030-02792-6

https://doi.org/10.1007/978-3-030-02792-6

Library of Congress Control Number: 2018958724

The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG, part of Springer Nature 2018

This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed.

The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use.

The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

Cover image: Tetra Images/Getty Images

Cover design: Fatima Jamadar

This Palgrave Macmillan imprint is published by the registered company Springer Nature Switzerland AG

The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland

ZK: To my mother Mila and my children Mirabelle and Maximilien

JAS: To my parents, Claudio and Andrea, and my brother Emiliano

Acronyms

ABS

Asset-Backed Security

ADDV

Average Daily Dollar Volume

ANN

Artificial Neural Network

ATM

At-The-Money

B/P

Book-to-Price

Bankers Acceptance

BICS

Bloomberg Industry Classification System

bps

Basis point

BTC

Bitcoin

Btu

British thermal unit

Commodity allocation percentage

CBOE

Chicago Board Options Exchange

Certificate of Deposit

CDD

Cooling-Degree-Days

CDO

Collateralized Debt Obligation

CDS

Credit Default Swap

CFTC

U.S. Commodity Futures Trading Commission

Core Inflation

CIRP

Covered Interest Rate Parity

CME

Chicago Mercantile Exchange

COT

Commitments of Traders

CPI

Consumer Price Index

CPS

Cents-Per-Share

CTA

Commodity Trading Advisor

DJIA

Dow Jones Industrial Average

EMA

Exponential Moving Average

EMSD

Exponential Moving Standard Deviation

ETF

Exchange-Traded Fund

ETH

Ethereum

ETN

Exchange-Traded Note

EUR

Euro

FOMC

Federal Open Market Committee

Foreign exchange

GDP

Gross Domestic Product

GICS

Global Industry Classification Standard

HDD

Heating-Degree-Days

HFT

High Frequency Trading

Headline Inflation

HMD

Healthy-Minus-Distressed

HML

High Minus Low

Hedging pressure; Hodrick-Prescott

IBS

Internal Bar Strength

ITM

In-The-Money

JPY

Japanese Yen

LETF

Leveraged (inverse) ETF

LIBOR

London Interbank Offer Rate

M&A

Mergers and Acquisitions

Moving Average

Machine Learning

MBS

Mortgage-Backed Security

MBtu

1000 Btu

MKT

Market (excess) return

MMBtu

1,000,000 Btu

MOM

Carharts momentum factor

MSA

Metropolitan Statistical Area

MTM

Mark-To-Market

Mwh

Megawatt hour

NYSE

New York Stock Exchange

OAS

Option Adjusted Spread

OTM

Out-of-the-Money

P&L

Profit(s) and Loss(es)

P2P

Peer-to-Peer

PCA

Principal Component Analysis

REIT

Real Estate Investment Trust

ReLU

Rectified linear unit

REPO/repo

Repurchase agreement

RMSE

Root Mean Square Error

RSI

Relative Strength Index

S&P

Standard and Poors

SIC

Standard Industrial Classification

SMA

Simple Moving Average

SMB

Small Minus Big

SGD

Stochastic Gradient Descent

Sum of Squares

StatArb

Statistical Arbitrage

STRIPS

Separate Trading of Registered Interest and Principal of Securities

SUE

Standardized Unexpected Earnings

SVM

Support Vector Machine

TTM

Time-To-Maturity

TIPS

Treasury Inflation-Protected Securities

UIRP

Uncovered Interest Rate Parity

USD

U.S. Dollar

VAR

Vector Autoregressive Model

VWAP

Volume-Weighted Average Price

YoY

Year-on-Year

Some Math Notations

iff

If and only if

max (min)

Maximum (minimum)

The largest integer less than or equal 151 Trading Strategies - image 4

The smallest integer greater than or equal 151 Trading Strategies - image 6

151 Trading Strategies - image 8

Sign of 151 Trading Strategies - image 10 , defined as: if ; if ; if

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