INDEX

A

  1. AAPL
    1. average daily trading volume
    2. exchange auction
    3. options, leverage
    4. out-of-sample accuracy
  2. Accern
  3. AcquireMedia, NewsEdge database
  4. ACWV
  5. Adverse selection
    1. reduction
  6. Aggressor tag
    1. method
    2. strategy
    3. trading algorithm
  7. Akaike information criterion (AIC)
    1. criteria
  8. Algorithmic trading
    1. flowchart
    2. impact
  9. Algoseek
  10. AlgoTracker
  11. Alpha
    1. models
  12. API, usage/provision
  13. AR(10) model, coefficients (application)
  14. AR(10) trading strategy, application
  15. AR(16) trading strategy, application
  16. Arbitrage
  17. ARIMA
    1. forecast function
  18. Arima function
  19. ARMA (p, q)
  20. ARMA (3,7) trading strategy, application
  21. ARMA (2,5) model coefficients, application
  22. ARMA models
  23. ARMA (2,5) trading strategy, application
  24. AR models
  25. AR (p)
  26. ARQ_BVPS, usage
  27. ARQ_EPS, division
  28. ARQ_PB reciprocal
  29. Array processing
  30. Artificial intelligence (AI)
    1. basis
    2. techniques
  31. Astec database
  32. At-the-money (ATM)
    1. call implied volatilities
    2. options, usage
  33. At-the-money (ATM) call/put options
  34. At-the-money (ATM) options
  35. AUD.USD
    1. AR(10) model coefficients, application
    2. AR(10) trading strategy, usage
    3. ARMA (2,5) model coefficients, application
    4. ARMA (2,5) trading strategy, application
  36. Automated execution platforms
  37. Autoregressive coefficients
  38. Auto-regressive process

B

  1. Backtesting
    1. execution platforms
    2. intraday strategies
    3. profit
  2. Backtesting platforms
  3. Backwardation
  4. Bagging
    1. examples
  5. Bankhaus Herstatt
  6. Base currency
  7. BATS
    1. BZX exchange, fees charge reasons
    2. Hide Not Slide Order
  8. Bayesian information criterion (BIC)
    1. criterion/criteria
      1. usage
    2. minimization
  9. Bayes Net Toolbox
  10. Best bid and offer (BBO)
    1. construction, ITCH messages (usage)
    2. displayed quotes
    3. prices
    4. quotes
    5. size, capture
    6. usage, examples
  11. BIC. See Bayesian information criterion
  12. Bid-ask bounce
    1. reduction
  13. Bid-ask quotes
  14. Bid-ask spread
  15. Big-market-capitalization stocks, basket
  16. Bitcoins
    1. facts
  17. Bitfinex
  18. BitStamp
    1. BTC.USD feed
  19. Black-box
  20. Black Monday, SPY return
  21. Bloomberg
    1. terminal, advantage
  22. Bollinger band trading strategy
    1. usage
  23. Book-to-market ratio (BM)
    1. factor model, fitting
    2. log
  24. Book-to-market stocks
  25. Boosting
    1. effect
  26. Brightwater Associates All Weather fund
  27. Brokers
    1. API, usage
  28. BTC China
  29. BTC.CNY
  30. BTC.USD
    1. AR(16) trading strategy, application
    2. ARMA(3,7) trading strategy, application
    3. data
    4. equity curve, Bollinger band trading strategy
  31. Buffett, Warren
  32. Bulk volume classification (BVC), usage
  33. Buy and sell signals, generation
  34. buyOrderBook

C

  1. C (programming language)
  2. C# (programming language)
  3. C++ (programming language)
  4. CAGR. See Compound annual growth rate
  5. Calendar spread quotes data
  6. Call implied volatility (CIV)
  7. Call-put implied volatilities
  8. Calmar ratio
    1. basis
    2. elevation
  9. Capital allocation, tangency portfolio (correspondence)
  10. Capital asset pricing model (CAPM)
  11. Center for Research of Security Prices (CRSP)
    1. data
    2. midprices, usage
    3. survivorship-bias-free database
  12. Chattopadhyay two-factor model
  13. Child node
  14. CIV. See Call implied volatility
  15. Classification tree
  16. CLS bank, establishment
  17. CME equity index futures
  18. CME Globex, crude oil futures expiration
  19. CNY
  20. Cognitive dissonance, creation
  21. Coinsetter messages
  22. Cointegration, Johansen test
  23. Commodity Futures Trading Commission (CFTC)
  24. Commodity Pool (endnote)
  25. Commodity Pool Operator (CPO)
  26. Commodity Trading Advisor (CTA)
  27. compareVolWithVXX.m, usage
  28. Compound annual growth rate (CAGR)
    1. calculation
    2. generation
    3. in-sample CAGR, increase
    4. maximization
    5. obtaining
    6. out-of-sample CAGR, increase
    7. percentage value
    8. training set level
    9. unlevered CAGR
      1. expectation
      2. obtaining
  29. Compustat data
  30. Computer hardware stocks
    1. Kalman filter trading strategy, application
    2. VAR(1) model, application
    3. VAR(1) trading strategy, application
    4. VEC(0) model, application
  31. Constant offsets
  32. Constant Proportion Portfolio Insurance (CPPI)
  33. Contracts trading dates
  34. Correlation trading
  35. Covariance
    1. example
    2. matrix
  36. CQG
  37. CQG Data Factory
  38. Cross-border cross-exchange arbitrage
  39. Cross-exchange arbitrage
  40. Cross-sectional factors
    1. loading
    2. model, fitting
  41. Cross-sectional mean reversion
  42. Cross-sectional two-factor model
  43. Cross-validated accuracy
  44. Cross-validated regression tree
  45. Cross validation
  46. Cross validation data set, usage
  47. Cross-validation test, training set (subset omission)
  48. Cross-validation, usage
  49. Crowd-sourcing earnings estimates, availability
  50. CRSP. See Center for Research of Security Prices
  51. Crude oil futures
    1. gamma scalping (usage), straddle (combination)
    2. options straddles, shorting
  52. CSI, usage
  53. cTree.m
  54. Cumulative distribution function (CDF)
  55. Cumulative returns
    1. RV(t+1)- RV(t) strategy, cumulative returns
    2. VX-ES roll returns strategy, cumulative returns
    3. XIV-SPY roll return strategy, cumulative returns
  56. Currency conversion counters
  57. Currency markets
  58. Currency returns
  59. Currency traders
  60. CUSIP
  61. Cython compilers, usage

D

  1. Daily data, futures traders usage
  2. Daily options data, collection
  3. Dark pools, routing
  4. Data
    1. aggregation
    2. mining
    3. normalization
    4. structure
    5. vendors
  5. Days to cover (DTC)
  6. Debugging productivity
  7. Deep learning
  8. Delta
    1. constraints
    2. defining
  9. Delta-hedging
  10. Delta-neutral, meaning
  11. Deltix
  12. Direct Market Access (DMA)
  13. Discrete (categorical) response variables
  14. Dispersion strategy
  15. Dispersion trading
    1. example
    2. usage
  16. Diversification
  17. DMA. See Direct Market Access
  18. Dow Jones
  19. Drawdowns
  20. Dumb beta

E

  1. Earning alpha
  2. EEMV
  3. Efficient frontier
    1. calculation, quadratic programming (usage)
    2. determination
  4. Eigenvalues, descending magnitude
  5. Eigenvectors
  6. EM algorithm
  7. EMC
  8. Emissions
    1. probabilities
  9. Enron, large-cap stocks
  10. Ensemble method
  11. entryThreshold, selection
  12. entryZscore
  13. Equity curve
  14. Error correction matrix
  15. eSignal
  16. Estimate function
    1. application
  17. Estimize data
  18. Eurodollar futures (ED) outright market, BBO (usage)
  19. European options, put-call parity
  20. EURUSD, out-of-sample accuracy
  21. Event-driven strategies
  22. EWA-EWC, linear regression relationship
  23. EWA, shorting
  24. EWC-EWA
    1. Kalman filter trading strategy, application
    2. offset, Kalman filter estimate (usage)
    3. out-of-sample EWC-EWA, Kalman filter trading strategy (application)
  25. EWC treatment
  26. Exchanges, order book (examples)
  27. Exchange-traded futures (ETFs)
    1. components
    2. EWA
    3. expected return
    4. portfolio, efficient frontier (determination)
    5. SPLV
    6. SPY next-day return
  28. Exchange-traded notes (ETNs)
  29. exitThreshold
  30. Exponential moving average

F

  1. Face-to-face meetings, impact
  2. Factor
    1. BM factor model, fitting
    2. cross-sectional factors
    3. exposure
    4. fundamental cross-sectional factor model
    5. input factors loadings, size-independent characteristics
    6. loadings
      1. nonlinear model, application
    7. model
      1. implementation
    8. predictive statistical factors (discovery), Principal Component Analysis (usage)
    9. risks
    10. ROE factor model, fitting
    11. selection
    12. statistical factors
    13. time-series factors
    14. two-factor model
  3. FactorLoadings matrix
  4. Fama-French factors, usage
  5. Fama-French three-factor model
  6. FCM. See Futures Commission Merchants
  7. feedforwardnet function
  8. Filter function, usage
  9. Filtering, meaning
  10. fitctree function
  11. fitensemble function
  12. fitlm function
  13. fitrtree function
  14. Fivefold cross validation, imposition
  15. Flash crashes
  16. Forecast functions
  17. Function filter, application
  18. Fundamental factors, usage
  19. Fundamental financial data
  20. Futures
    1. daily historical data
    2. traders, daily data (usage)
  21. Futures Commission Merchants (FCM)
  22. FX brokers, money (earning)
  23. FX market

G

  1. Gamma scalping
    1. path-dependent profit
    2. usage, example
  2. Gaussian, CDF
    1. function
  3. Gaussian distribution
  4. Gaussian fluctuations
  5. Gaussian noise
    1. assumption
  6. GBP.USD
  7. GDI. See Gini's Diversity Index
  8. GDX
    1. out-of-sample spread
    2. pair trading
  9. Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
    1. basis
    2. prediction
    3. usage
  10. Gini's Diversity Index (GDI)
  11. GLD
    1. out-of-sample accuracy
    2. out-of-sample spread
    3. pair trading
  12. Goldman Sachs, Sigma X
  13. Greeks
  14. Greenblatt, Joel
  15. Gross margin
  16. Gross market value, computation

H

  1. Head-of-queue priority, obtaining
  2. Hedge portfolio
  3. Hedge ratio
    1. display
    2. estimates
  4. Herd-like behavior
  5. Herstatt risk
  6. HFT
  7. Hidden Markov Model (HMM)
    1. hidden states transition probabilities
    2. supervised training, usage
    3. unsupervised training, usage
  8. Hidden variable
  9. Hide-and-light
    1. order, usage
  10. Hide Not Slide Order
  11. High-leverage point
  12. Historical data, retrieval
  13. Historical market data
  14. Historical stock prices, adjustment
  15. HML
    1. portfolio return
    2. time-series factor
    3. value factor
  16. HMM. See Hidden Markov Model
  17. hmmdecode function
  18. hmmviterbi function
  19. Hodrick-Prescott filter
  20. HotspotFX
    1. user acceptance testing (UAT) account
  21. HPQ
  22. Hyperplane, usage

I

  1. IB. See Interactive Brokers
  2. IBES database, usage
  3. IBM, trading
  4. IBPy, usage
  5. Identity matrix
  6. IEX
  7. Immediate-or-cancel (IOC)
    1. limit IOC order
    2. modifier, usage
    3. orders
  8. Implied market volatility, daily change
  9. Implied moments
    1. high/low implied moments
  10. Implied volatilities
    1. call-put implied volatilities
    2. defining
    3. factor
    4. historical realized volatility, ratio
    5. monthly change
    6. OTM put- ATM call implied volatilities
    7. storage
  11. Implied volatility, cross-sectional mean reversion
  12. impVolCrossSectionalMeanReversion.m
  13. Index straddle/SPX component straddle (contrast), dispersion trading (usage)
  14. Initial guesses, dependence (reduction)
  15. Innovations
  16. Input factors
    1. loadings, size-independent characteristics
    2. size-independent characteristic
  17. In-sample CAGR
    1. increase
    2. obtaining
  18. In-sample computer hardware stocks, Kalman filter trading strategy (application)
  19. Integrated development environment (IDE)
  20. Interactive Brokers (IB)
    1. latency
    2. Point of Presence (POP)
  21. Interactive Data
  22. Intermarket sweep order (ISO)
    1. book walking process
    2. sending sequence, impact
  23. In-the-money (ITM)
  24. Intraday futures strategy
  25. Intraday trading
  26. Investment Advisor
  27. Investment decisions, face-to-face meetings
  28. Investment management services, offer
  29. Investors, benefits
  30. IQFeed
  31. ITCH data
  32. ITCH feed
  33. ITCH messages, usage
  34. ITG
    1. POSIT

J

  1. Java (programming language)
  2. Johansen test

K

  1. Kalman filter
    1. application
    2. estimate, examples
    3. trading strategy, application
    4. usage
  2. k-dimensional Gaussian white noise
  3. Kernel function
  4. Kernel transformation
  5. Kelly
  6. KF_beta_XIV_SPY.m
  7. kfoldLoss function
  8. Kibot
  9. Kurt, computation
  10. Kurtosis
    1. factor

L

  1. Lagrange multiplier method, usage
  2. Lagrange multiplier, zero method
  3. Latency
    1. arbitrage
    2. minimization
    3. reduction
    4. types
  4. learn_params_dbn_em function
  5. Lehman Brothers, large-cap stocks
  6. Levered compounded returns, comparison
  7. Lime Brokerage, Strategy Studio
  8. Limit-on-Close (LOC) order
  9. Limit-on-Open (LOO) order
  10. Linear regression
    1. relationship
    2. usage
  11. Liquidation problem
  12. Liquidity
    1. addition
      1. fees charge, BATS BZX exchange reasons
    2. elevation
    3. factor
    4. liquidity-sorted stocks
    5. taking
  13. Liquidity provider (LP)
  14. Live market data
  15. Lloyd's of London
  16. LMAX
  17. Log prices, SSM application
  18. Log return
    1. calculation
    2. mean, net return mean (contrast)
    3. standard deviation
  19. Long-short portfolio
    1. construction
  20. Long SPY, short VX
    1. contrast
    2. performance comparison
  21. Long stocks, high/low implied moments
  22. Low frequency data
  23. LSBoost, specification

M

  1. Machine learners, ambiguity
  2. Machine learning
    1. techniques
  3. Macroeconomic factors
  4. Managed accounts
  5. Market
    1. capitalization
    2. index, returns
    3. inefficiency
    4. microstructure
    5. orders, usage
    6. risk
  6. Marketcetera
  7. Market data
    1. historical market data
    2. latency
    3. live market data
  8. Market makers
  9. Market-neutral portfolio, out-of-sample CAGR
  10. Market-neutral results
  11. Market-on-Close (MOC) order
  12. Market-on-Open (MOO) order
  13. MarketPsych
  14. Markowitz portfolio optimization method
  15. MAR ratio
  16. MATLAB
    1. array, storage
    2. backtesting platform
    3. binary files
    4. code fragment
    5. Data Structures package
    6. datenum
    7. estimate function
    8. Optimization Toolbox
    9. serial date number
    10. Statistics and Machine Learning Toolbox
    11. usage
  17. Matrices, estimated values
  18. Maximum drawdown
  19. Maximum likelihood estimation method
  20. Maximum variance portfolio, construction
  21. MDP Market Data
  22. Mean log return, calculation
  23. Mean reversion strategy
  24. Mean-reversion trading models
  25. Mean-reverting strategy
  26. Mean-reverting technique
  27. Mean-reverting trading rules
  28. Mean squared error (MSE)
  29. Mex files, usage
  30. MF Global bankruptcy
  31. Mind/health
  32. Minimum variance portfolio
  33. MinLeafSize, selection
  34. Momentum strategy
  35. Money, management
  36. Moneyness
  37. Moving averages
    1. model
    2. usage
  38. MSE. See Mean squared error
  39. Murphy, Kevin
  40. MXN.USD

N

  1. NaN
    1. returns
    2. unknown parameters
  2. Nanex
  3. National Best Bid Offer (NBBO)
    1. basis
    2. liquidity
    3. midprice
    4. quote size
  4. National best offer (NBO)
  5. National Futures Association (NFA)
  6. National Oilseed Processors Association (NOPA), crush report
  7. Net asset value (NAV)
    1. drawdown
  8. Net return
    1. calculation
    2. mean, log return mean (contrast)
    3. standard deviation
  9. Network architectures, performance comparison
    1. averaging, usage
    2. retraining, usage
  10. Neural network
  11. Neural Network Toolbox
  12. Neurons, impact
  13. New calendar spread limit order, addition
  14. News data
  15. Next-day return (prediction), Fama-French factors (usage)
  16. Next-month return (prediction), ROE/B factor model (fitting)
  17. Next-period return
  18. Next-quarter return (prediction), cross-sectional factor model (fitting)
  19. NFA. See National Futures Association
  20. Ninjatrader
  21. Nondisplayed orders, presence
  22. Nonzero cross-sectional correlations
  23. Normalization
  24. NTAP
  25. Numba compilers, usage
  26. Numerical quadratic programming method, usage
  27. NumPredictorsToSample

O

  1. Object-oriented design
  2. Off-diagonal elements
  3. One-factor model
  4. OpenQuant
  5. Opportunity cost, suffering
  6. Optimal leverage
    1. calculation
  7. OptionMetrics, Ivy DB databases
  8. Options
    1. absence
    2. crude oil futures options straddles, shorting
    3. factors
    4. historical data
    5. prices, usage
    6. strategies
  9. ORATS.com, daily options data
  10. Order book
    1. examples
    2. imbalance
    3. ISO walking process
  11. Order book imbalance of a stock (ORCL)
  12. Order flow
    1. determination, bulk volume classification (usage)
    2. payment
    3. strategy, examples
  13. Order Protection Rule
    1. requirements
  14. Order status (latency type)
  15. Order submission (latency type)
  16. Order type
  17. Out-of-bag observations
  18. Out-of-sample CAGR
    1. increase
    2. production
    3. zero level
  19. Out-of-sample computer hardware stocks, Kalman filter trading strategy (application)
  20. Out-of-sample data
  21. Out-of-sample EWC-EWA, Kalman filter trading strategy (application)
  22. Out-of-sample performance, degrading
  23. Out-of-the-money (OTM)
    1. call/put options
    2. call/SPX options, tenor duration
    3. options, embedded leverage level
    4. OTM put- At-the-money (ATM) call implied volatilities
  24. Outright market, BBO (usage)
  25. OZS option, trading

P

  1. Parallel processing
  2. Parametric distributions
  3. Parent node
  4. Partial derivatives, usage
  5. Pearson correlation
  6. Perceptron (sigmoidal) function
  7. Performance
    1. attribution
    2. measures, computation
    3. metrics
    4. speed, comparison
  8. PFGBest bankruptcy
  9. Pipeline
  10. PIV. See Put implied volatility
  11. Point of Presence (POP)
  12. Polynomial function, specification
  13. Portfolio
    1. optimization
      1. Markowitz portfolio optimization method
    2. Sharpe ratio, maximization
    3. vega-neutral
  14. POSIT
  15. Post No Preference Blind Order
  16. predict function
  17. Prediction error minimization
  18. Predictive factors
  19. Predictive power
  20. Predictive statistical factors (discovery), Principal Component Analysis (usage)
  21. Predictors
    1. matrix
    2. sampling
  22. Price data
  23. Price protection
  24. Price-to-earnings (P/E) ratio
  25. Principal Component Analysis (PCA), usage
  26. Profitable strategies, cessation (reasons)
  27. Profit & Loss (P&L)
    1. computation
    2. negative level, generation
    3. responsibility
  28. Profit & Loss (P&L), usage
  29. Progress Apama
  30. Put-call parity
    1. deviation
  31. Put implied volatility (PIV)
  32. Put-call implied volatilities
  33. PyCharm
  34. Python, usage

Q

  1. Quadprog (programming function), usage
  2. Quadratic programming, usage
  3. Qualcomm, Inc.
  4. Quandl
    1. data
    2. database
    3. usage
  5. QuantConnect
  6. QuantGo
  7. QuantHouse
  8. Quantiacs
  9. Quantmasscapital
  10. Quantopian
  11. Quant trading, programming languages (ranking)

R

  1. Random forest
  2. Random noise, effect
  3. Random subspace
  4. Random walk
  5. Ravenpak, news sentiment pack
  6. Realized volatility (RV)
  7. Registered investment advisor (RIA)
  8. Regression coefficient
  9. Regression tree
    1. boosting, effect
    2. learner, bagging (application)
    3. trading model
  10. Regulation National Market System (Reg NMS)
  11. Relative Strength Index
  12. Renaissance Technologies
  13. REPL languages
  14. Rerouting, impact
  15. Reshape function
  16. reshape function
  17. Retraining, usage
  18. Return
    1. calculation
    2. next-day return (prediction), Fama-French factors (usage)
    3. next-quarter return (prediction), cross-sectional factor model (fitting)
    4. stock returns (prediction), option prices (usage)
    5. VX-ES roll returns strategy, cumulative returns
    6. XIV-SPY roll return strategy, cumulative returns
  19. Return-on-equity (ROE)
    1. calculation
    2. factor model, fitting
    3. one-factor model, application
  20. Risk-free rate
  21. Riskless arbitrage
  22. Riskless portfolio
  23. Risk parity
    1. allocation method
    2. portfolio
  24. Risky assets, riskiness (comparison)
  25. Routing
    1. optimization
  26. rTree.m
  27. rTreeLSBoost.m
  28. rTree_SPX.m
  29. Rule 610
  30. R (language), usage
  31. RV(t+1)- RV(t) strategy, cumulative returns
  32. RV(t+1)- VIX(t)
    1. strategy

S

  1. SciPy packages, usage
  2. Scripting languages
  3. Securities and Exchange Commission (SEC) (endnote)
  4. Securities Investor Protection Corporation (SIPC)
  5. sellOrderBook
  6. Sequential processing
  7. Settlement risk
  8. Sharadar, Core U.S. Fundamentals database
  9. Sharpe ratio
    1. increase
    2. logarithm, maximization
    3. maximization
    4. regression tree, boosting (impact)
    5. value
  10. Short interest
  11. Short options position, risk
  12. Short stocks, high/low implied moments
  13. shortStraddle_LO.m
  14. Short volatility strategy
  15. Short VX, long SPY
    1. contrast
    2. performance comparison
  16. Sigmoid functions
  17. Signal processing
  18. Sniffler orders
  19. SIPC. See Securities Investor Protection Corporation
  20. SIP feed
  21. Size-independent input factors
  22. Skew
    1. computation
  23. Skewness factor
  24. Slope, Kalman filter estimate (usage)
  25. Small-cap (SML) stocks, ROE one-factor model (application)
  26. Smart betas
  27. SMB
    1. factor
    2. portfolio return
    3. time-series factor
  28. SNDK
  29. S&P Capital IQ (QuantHouse)
  30. SPLV
  31. SPX
    1. component straddles/index straddles (contrast), dispersion trading (usage)
    2. dispersion trading
    3. index
    4. stocks. sorting
  32. SPX component stocks
    1. cross-validated regression tree
    2. fundamental cross-sectional factor model
    3. liquidity factor
    4. one-factor model
    5. statistical factor
    6. stepwise regression, fundamental factors (usage)
    7. two-factor models
  33. SPY
    1. actual return
    2. levered compounded returns, comparison
    3. long SPY, short VX
      1. contrast
      2. performance comparison
    4. out-of-sample accuracy
    5. purchase
    6. regression tree
    7. returns
      1. prediction
      2. prediction task
    8. stepwise regression, out-of-sample performance
    9. volatility
      1. prediction
    10. XIV (hedge ratio determination), Kalman filter (usage)
    11. XIV-SPY roll return strategy, cumulative returns
  34. SR Labs
  35. State space models (SSMs)
    1. application
    2. SSM_beta_EWA_EWC.m
  36. Statistical factors
    1. chart
    2. usefulness
  37. Statistical significance, achievement
  38. stepwiselm function
  39. stepwiseLR.m
  40. Stepwise regression
    1. factors selection
    2. fundamental factors, usage
    3. out-of-sample performance
    4. result
  41. Stochastic indicators
  42. Stochastic oscillator
  43. Stocks
    1. daily historical data
    2. equal dollar weight
    3. index, buy-and-hold
    4. momentum
    5. options, portfolio (selection)
    6. returns
      1. decomposition
      2. prediction, option prices (usage)
    7. selection, application
  44. Stopping condition, meeting
  45. Straddles
    1. crude oil futures options straddles, shorting
    2. inception
    3. long position
    4. SPX component straddles/index straddles (contrast), dispersion trading (usage)
    5. usage
  46. Strangle
    1. shorting
  47. Strategy Studio (Lime Brokerage)
  48. Strike price
  49. Sub-period log returns
  50. SunGard, Astec database
  51. Supervised training, usage
  52. Support vector machine (SVM)
    1. cross-validation, usage
    2. illustration
  53. Support vectors, set (formation)
  54. Survivorship-bias-free database
  55. Swiss National Bank, pegging announcement

T

  1. Tail-dependence
  2. Tail risk
  3. Tangency portfolio
    1. capital allocation, correspondence
    2. determination
  4. Technical analysis
  5. Tenor
    1. duration
    2. satisfaction
  6. testRatio, usage
  7. Theta, value
  8. Thomson Reuters
  9. Thomson Reuters News Analytics
  10. Tickdata
  11. Tick rule
  12. Time-series analysis
  13. Time-series factors
    1. construction
  14. Time-series mean reversion
  15. Time-series techniques
  16. Trades and quotes (TAQ) data
  17. Trade secrets, leakage
  18. Trade tick
    1. absence
  19. Trading
    1. Bollinger band trading strategy
    2. contracts trading dates
    3. correlation trading
    4. dispersion trading
    5. intraday trading
    6. model, regression tree basis
    7. platforms
      1. criteria
    8. quant trading, programming languages (ranking)
    9. service function
    10. strategies
      1. AI basis
      2. success, question
    11. trends
    12. volatility, options (absence)
  20. Training set
    1. CAGR
    2. predictions
    3. replacement
  21. trainRatio, indication
  22. TreeBagger function
  23. Trending techniques
  24. Trends
  25. Twitter feeds, usage
  26. Two-factor loadings, usage
  27. Two-factor model

U

  1. UMD
    1. momentum
  2. Uninformed traders, identification
  3. Unit variance
  4. Univariate regression
  5. Unlevered CAGR
    1. expectation
    2. obtaining
  6. Unsupervised training, usage
  7. U.S. Dollars (USD)
    1. AR(10) model coefficients, application
    2. AR(10) trading strategy, usage
  8. User acceptance testing (UAT) account, usage
  9. USMV
  10. USO, out-of-sample accuracy

V

  1. valRatio, zero level
  2. Value-minus-growth factor
  3. VAR
  4. VAR(1) model, application
  5. VAR(1) trading strategy, application
  6. Variances, reduction (absence)
  7. VAR models, usage
  8. VAR(p)
  9. vartovec function
  10. Vector error correction (VEC)
    1. models
    2. VEC(0) model, application
  11. Vega
    1. computation
    2. value
  12. Vega-neutrality, achievement
  13. Vega-neutral weighting scheme
  14. Viterbi, Andrew
  15. Volatility (VIX)
    1. change
    2. implied market volatility, daily change
    3. increase
    4. index
    5. prediction
      1. example
    6. realized volatility (RV)
    7. risk, exposure minimum
    8. shorting
    9. smirk
    10. trading volatility, options (absence)
  16. Vol, computation
  17. Volume bars, data structure
  18. VX
    1. levered compounded returns, comparison
    2. short VX, long SPY
      1. contrast
      2. performance comparison
  19. VX-ES
    1. roll returns strategy, cumulative returns
    2. strategy
  20. VXX
    1. holding
    2. purchase/sale
  21. VXX/XIV strategy

W

  1. Wavelet filter
  2. Weak learners
  3. “Weekly Petroleum Status Report”
  4. White noise
    1. k-dimensional Guassian white noise
  5. WRDS
    1. data
    2. package

X

  1. XIV/SPY (hedge ratio determination), Kalman filter (usage)
  2. XIV-SPY roll return strategy, cumulative returns

Z

  1. Zero mean
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