A
- AAPL
- average daily trading volume
- exchange auction
- options, leverage
- out-of-sample accuracy
- Accern
- AcquireMedia, NewsEdge database
- ACWV
- Adverse selection
- reduction
- Aggressor tag
- method
- strategy
- trading algorithm
- Akaike information criterion (AIC)
- criteria
- Algorithmic trading
- flowchart
- impact
- Algoseek
- AlgoTracker
- Alpha
- models
- API, usage/provision
- AR(10) model, coefficients (application)
- AR(10) trading strategy, application
- AR(16) trading strategy, application
- Arbitrage
- ARIMA
- forecast function
- Arima function
- ARMA (p, q)
- ARMA (3,7) trading strategy, application
- ARMA (2,5) model coefficients, application
- ARMA models
- ARMA (2,5) trading strategy, application
- AR models
- AR (p)
- ARQ_BVPS, usage
- ARQ_EPS, division
- ARQ_PB reciprocal
- Array processing
- Artificial intelligence (AI)
- basis
- techniques
- Astec database
- At-the-money (ATM)
- call implied volatilities
- options, usage
- At-the-money (ATM) call/put options
- At-the-money (ATM) options
- AUD.USD
- AR(10) model coefficients, application
- AR(10) trading strategy, usage
- ARMA (2,5) model coefficients, application
- ARMA (2,5) trading strategy, application
- Automated execution platforms
- Autoregressive coefficients
- Auto-regressive process
B
- Backtesting
- execution platforms
- intraday strategies
- profit
- Backtesting platforms
- Backwardation
- Bagging
- examples
- Bankhaus Herstatt
- Base currency
- BATS
- BZX exchange, fees charge reasons
- Hide Not Slide Order
- Bayesian information criterion (BIC)
- criterion/criteria
- usage
- minimization
- Bayes Net Toolbox
- Best bid and offer (BBO)
- construction, ITCH messages (usage)
- displayed quotes
- prices
- quotes
- size, capture
- usage, examples
- BIC. See Bayesian information criterion
- Bid-ask bounce
- reduction
- Bid-ask quotes
- Bid-ask spread
- Big-market-capitalization stocks, basket
- Bitcoins
- facts
- Bitfinex
- BitStamp
- BTC.USD feed
- Black-box
- Black Monday, SPY return
- Bloomberg
- terminal, advantage
- Bollinger band trading strategy
- usage
- Book-to-market ratio (BM)
- factor model, fitting
- log
- Book-to-market stocks
- Boosting
- effect
- Brightwater Associates All Weather fund
- Brokers
- API, usage
- BTC China
- BTC.CNY
- BTC.USD
- AR(16) trading strategy, application
- ARMA(3,7) trading strategy, application
- data
- equity curve, Bollinger band trading strategy
- Buffett, Warren
- Bulk volume classification (BVC), usage
- Buy and sell signals, generation
- buyOrderBook
C
- C (programming language)
- C# (programming language)
- C++ (programming language)
- CAGR. See Compound annual growth rate
- Calendar spread quotes data
- Call implied volatility (CIV)
- Call-put implied volatilities
- Calmar ratio
- basis
- elevation
- Capital allocation, tangency portfolio (correspondence)
- Capital asset pricing model (CAPM)
- Center for Research of Security Prices (CRSP)
- data
- midprices, usage
- survivorship-bias-free database
- Chattopadhyay two-factor model
- Child node
- CIV. See Call implied volatility
- Classification tree
- CLS bank, establishment
- CME equity index futures
- CME Globex, crude oil futures expiration
- CNY
- Cognitive dissonance, creation
- Coinsetter messages
- Cointegration, Johansen test
- Commodity Futures Trading Commission (CFTC)
- Commodity Pool (endnote)
- Commodity Pool Operator (CPO)
- Commodity Trading Advisor (CTA)
- compareVolWithVXX.m, usage
- Compound annual growth rate (CAGR)
- calculation
- generation
- in-sample CAGR, increase
- maximization
- obtaining
- out-of-sample CAGR, increase
- percentage value
- training set level
- unlevered CAGR
- expectation
- obtaining
- Compustat data
- Computer hardware stocks
- Kalman filter trading strategy, application
- VAR(1) model, application
- VAR(1) trading strategy, application
- VEC(0) model, application
- Constant offsets
- Constant Proportion Portfolio Insurance (CPPI)
- Contracts trading dates
- Correlation trading
- Covariance
- example
- matrix
- CQG
- CQG Data Factory
- Cross-border cross-exchange arbitrage
- Cross-exchange arbitrage
- Cross-sectional factors
- loading
- model, fitting
- Cross-sectional mean reversion
- Cross-sectional two-factor model
- Cross-validated accuracy
- Cross-validated regression tree
- Cross validation
- Cross validation data set, usage
- Cross-validation test, training set (subset omission)
- Cross-validation, usage
- Crowd-sourcing earnings estimates, availability
- CRSP. See Center for Research of Security Prices
- Crude oil futures
- gamma scalping (usage), straddle (combination)
- options straddles, shorting
- CSI, usage
- cTree.m
- Cumulative distribution function (CDF)
- Cumulative returns
- RV(t+1)- RV(t) strategy, cumulative returns
- VX-ES roll returns strategy, cumulative returns
- XIV-SPY roll return strategy, cumulative returns
- Currency conversion counters
- Currency markets
- Currency returns
- Currency traders
- CUSIP
- Cython compilers, usage
D
- Daily data, futures traders usage
- Daily options data, collection
- Dark pools, routing
- Data
- aggregation
- mining
- normalization
- structure
- vendors
- Days to cover (DTC)
- Debugging productivity
- Deep learning
- Delta
- constraints
- defining
- Delta-hedging
- Delta-neutral, meaning
- Deltix
- Direct Market Access (DMA)
- Discrete (categorical) response variables
- Dispersion strategy
- Dispersion trading
- example
- usage
- Diversification
- DMA. See Direct Market Access
- Dow Jones
- Drawdowns
- Dumb beta
E
- Earning alpha
- EEMV
- Efficient frontier
- calculation, quadratic programming (usage)
- determination
- Eigenvalues, descending magnitude
- Eigenvectors
- EM algorithm
- EMC
- Emissions
- probabilities
- Enron, large-cap stocks
- Ensemble method
- entryThreshold, selection
- entryZscore
- Equity curve
- Error correction matrix
- eSignal
- Estimate function
- application
- Estimize data
- Eurodollar futures (ED) outright market, BBO (usage)
- European options, put-call parity
- EURUSD, out-of-sample accuracy
- Event-driven strategies
- EWA-EWC, linear regression relationship
- EWA, shorting
- EWC-EWA
- Kalman filter trading strategy, application
- offset, Kalman filter estimate (usage)
- out-of-sample EWC-EWA, Kalman filter trading strategy (application)
- EWC treatment
- Exchanges, order book (examples)
- Exchange-traded futures (ETFs)
- components
- EWA
- expected return
- portfolio, efficient frontier (determination)
- SPLV
- SPY next-day return
- Exchange-traded notes (ETNs)
- exitThreshold
- Exponential moving average
F
- Face-to-face meetings, impact
- Factor
- BM factor model, fitting
- cross-sectional factors
- exposure
- fundamental cross-sectional factor model
- input factors loadings, size-independent characteristics
- loadings
- nonlinear model, application
- model
- implementation
- predictive statistical factors (discovery), Principal Component Analysis (usage)
- risks
- ROE factor model, fitting
- selection
- statistical factors
- time-series factors
- two-factor model
- FactorLoadings matrix
- Fama-French factors, usage
- Fama-French three-factor model
- FCM. See Futures Commission Merchants
- feedforwardnet function
- Filter function, usage
- Filtering, meaning
- fitctree function
- fitensemble function
- fitlm function
- fitrtree function
- Fivefold cross validation, imposition
- Flash crashes
- Forecast functions
- Function filter, application
- Fundamental factors, usage
- Fundamental financial data
- Futures
- daily historical data
- traders, daily data (usage)
- Futures Commission Merchants (FCM)
- FX brokers, money (earning)
- FX market
G
- Gamma scalping
- path-dependent profit
- usage, example
- Gaussian, CDF
- function
- Gaussian distribution
- Gaussian fluctuations
- Gaussian noise
- assumption
- GBP.USD
- GDI. See Gini's Diversity Index
- GDX
- out-of-sample spread
- pair trading
- Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
- basis
- prediction
- usage
- Gini's Diversity Index (GDI)
- GLD
- out-of-sample accuracy
- out-of-sample spread
- pair trading
- Goldman Sachs, Sigma X
- Greeks
- Greenblatt, Joel
- Gross margin
- Gross market value, computation
H
- Head-of-queue priority, obtaining
- Hedge portfolio
- Hedge ratio
- display
- estimates
- Herd-like behavior
- Herstatt risk
- HFT
- Hidden Markov Model (HMM)
- hidden states transition probabilities
- supervised training, usage
- unsupervised training, usage
- Hidden variable
- Hide-and-light
- order, usage
- Hide Not Slide Order
- High-leverage point
- Historical data, retrieval
- Historical market data
- Historical stock prices, adjustment
- HML
- portfolio return
- time-series factor
- value factor
- HMM. See Hidden Markov Model
- hmmdecode function
- hmmviterbi function
- Hodrick-Prescott filter
- HotspotFX
- user acceptance testing (UAT) account
- HPQ
- Hyperplane, usage
I
- IB. See Interactive Brokers
- IBES database, usage
- IBM, trading
- IBPy, usage
- Identity matrix
- IEX
- Immediate-or-cancel (IOC)
- limit IOC order
- modifier, usage
- orders
- Implied market volatility, daily change
- Implied moments
- high/low implied moments
- Implied volatilities
- call-put implied volatilities
- defining
- factor
- historical realized volatility, ratio
- monthly change
- OTM put- ATM call implied volatilities
- storage
- Implied volatility, cross-sectional mean reversion
- impVolCrossSectionalMeanReversion.m
- Index straddle/SPX component straddle (contrast), dispersion trading (usage)
- Initial guesses, dependence (reduction)
- Innovations
- Input factors
- loadings, size-independent characteristics
- size-independent characteristic
- In-sample CAGR
- increase
- obtaining
- In-sample computer hardware stocks, Kalman filter trading strategy (application)
- Integrated development environment (IDE)
- Interactive Brokers (IB)
- latency
- Point of Presence (POP)
- Interactive Data
- Intermarket sweep order (ISO)
- book walking process
- sending sequence, impact
- In-the-money (ITM)
- Intraday futures strategy
- Intraday trading
- Investment Advisor
- Investment decisions, face-to-face meetings
- Investment management services, offer
- Investors, benefits
- IQFeed
- ITCH data
- ITCH feed
- ITCH messages, usage
- ITG
- POSIT
J
- Java (programming language)
- Johansen test
K
- Kalman filter
- application
- estimate, examples
- trading strategy, application
- usage
- k-dimensional Gaussian white noise
- Kernel function
- Kernel transformation
- Kelly
- KF_beta_XIV_SPY.m
- kfoldLoss function
- Kibot
- Kurt, computation
- Kurtosis
- factor
L
- Lagrange multiplier method, usage
- Lagrange multiplier, zero method
- Latency
- arbitrage
- minimization
- reduction
- types
- learn_params_dbn_em function
- Lehman Brothers, large-cap stocks
- Levered compounded returns, comparison
- Lime Brokerage, Strategy Studio
- Limit-on-Close (LOC) order
- Limit-on-Open (LOO) order
- Linear regression
- relationship
- usage
- Liquidation problem
- Liquidity
- addition
- fees charge, BATS BZX exchange reasons
- elevation
- factor
- liquidity-sorted stocks
- taking
- Liquidity provider (LP)
- Live market data
- Lloyd's of London
- LMAX
- Log prices, SSM application
- Log return
- calculation
- mean, net return mean (contrast)
- standard deviation
- Long-short portfolio
- construction
- Long SPY, short VX
- contrast
- performance comparison
- Long stocks, high/low implied moments
- Low frequency data
- LSBoost, specification
M
- Machine learners, ambiguity
- Machine learning
- techniques
- Macroeconomic factors
- Managed accounts
- Market
- capitalization
- index, returns
- inefficiency
- microstructure
- orders, usage
- risk
- Marketcetera
- Market data
- historical market data
- latency
- live market data
- Market makers
- Market-neutral portfolio, out-of-sample CAGR
- Market-neutral results
- Market-on-Close (MOC) order
- Market-on-Open (MOO) order
- MarketPsych
- Markowitz portfolio optimization method
- MAR ratio
- MATLAB
- array, storage
- backtesting platform
- binary files
- code fragment
- Data Structures package
- datenum
- estimate function
- Optimization Toolbox
- serial date number
- Statistics and Machine Learning Toolbox
- usage
- Matrices, estimated values
- Maximum drawdown
- Maximum likelihood estimation method
- Maximum variance portfolio, construction
- MDP Market Data
- Mean log return, calculation
- Mean reversion strategy
- Mean-reversion trading models
- Mean-reverting strategy
- Mean-reverting technique
- Mean-reverting trading rules
- Mean squared error (MSE)
- Mex files, usage
- MF Global bankruptcy
- Mind/health
- Minimum variance portfolio
- MinLeafSize, selection
- Momentum strategy
- Money, management
- Moneyness
- Moving averages
- model
- usage
- MSE. See Mean squared error
- Murphy, Kevin
- MXN.USD
N
- NaN
- returns
- unknown parameters
- Nanex
- National Best Bid Offer (NBBO)
- basis
- liquidity
- midprice
- quote size
- National best offer (NBO)
- National Futures Association (NFA)
- National Oilseed Processors Association (NOPA), crush report
- Net asset value (NAV)
- drawdown
- Net return
- calculation
- mean, log return mean (contrast)
- standard deviation
- Network architectures, performance comparison
- averaging, usage
- retraining, usage
- Neural network
- Neural Network Toolbox
- Neurons, impact
- New calendar spread limit order, addition
- News data
- Next-day return (prediction), Fama-French factors (usage)
- Next-month return (prediction), ROE/B factor model (fitting)
- Next-period return
- Next-quarter return (prediction), cross-sectional factor model (fitting)
- NFA. See National Futures Association
- Ninjatrader
- Nondisplayed orders, presence
- Nonzero cross-sectional correlations
- Normalization
- NTAP
- Numba compilers, usage
- Numerical quadratic programming method, usage
- NumPredictorsToSample
O
- Object-oriented design
- Off-diagonal elements
- One-factor model
- OpenQuant
- Opportunity cost, suffering
- Optimal leverage
- calculation
- OptionMetrics, Ivy DB databases
- Options
- absence
- crude oil futures options straddles, shorting
- factors
- historical data
- prices, usage
- strategies
- ORATS.com, daily options data
- Order book
- examples
- imbalance
- ISO walking process
- Order book imbalance of a stock (ORCL)
- Order flow
- determination, bulk volume classification (usage)
- payment
- strategy, examples
- Order Protection Rule
- requirements
- Order status (latency type)
- Order submission (latency type)
- Order type
- Out-of-bag observations
- Out-of-sample CAGR
- increase
- production
- zero level
- Out-of-sample computer hardware stocks, Kalman filter trading strategy (application)
- Out-of-sample data
- Out-of-sample EWC-EWA, Kalman filter trading strategy (application)
- Out-of-sample performance, degrading
- Out-of-the-money (OTM)
- call/put options
- call/SPX options, tenor duration
- options, embedded leverage level
- OTM put- At-the-money (ATM) call implied volatilities
- Outright market, BBO (usage)
- OZS option, trading
P
- Parallel processing
- Parametric distributions
- Parent node
- Partial derivatives, usage
- Pearson correlation
- Perceptron (sigmoidal) function
- Performance
- attribution
- measures, computation
- metrics
- speed, comparison
- PFGBest bankruptcy
- Pipeline
- PIV. See Put implied volatility
- Point of Presence (POP)
- Polynomial function, specification
- Portfolio
- optimization
- Markowitz portfolio optimization method
- Sharpe ratio, maximization
- vega-neutral
- POSIT
- Post No Preference Blind Order
- predict function
- Prediction error minimization
- Predictive factors
- Predictive power
- Predictive statistical factors (discovery), Principal Component Analysis (usage)
- Predictors
- matrix
- sampling
- Price data
- Price protection
- Price-to-earnings (P/E) ratio
- Principal Component Analysis (PCA), usage
- Profitable strategies, cessation (reasons)
- Profit & Loss (P&L)
- computation
- negative level, generation
- responsibility
- Profit & Loss (P&L), usage
- Progress Apama
- Put-call parity
- deviation
- Put implied volatility (PIV)
- Put-call implied volatilities
- PyCharm
- Python, usage
Q
- Quadprog (programming function), usage
- Quadratic programming, usage
- Qualcomm, Inc.
- Quandl
- data
- database
- usage
- QuantConnect
- QuantGo
- QuantHouse
- Quantiacs
- Quantmasscapital
- Quantopian
- Quant trading, programming languages (ranking)
R
- Random forest
- Random noise, effect
- Random subspace
- Random walk
- Ravenpak, news sentiment pack
- Realized volatility (RV)
- Registered investment advisor (RIA)
- Regression coefficient
- Regression tree
- boosting, effect
- learner, bagging (application)
- trading model
- Regulation National Market System (Reg NMS)
- Relative Strength Index
- Renaissance Technologies
- REPL languages
- Rerouting, impact
- Reshape function
- reshape function
- Retraining, usage
- Return
- calculation
- next-day return (prediction), Fama-French factors (usage)
- next-quarter return (prediction), cross-sectional factor model (fitting)
- stock returns (prediction), option prices (usage)
- VX-ES roll returns strategy, cumulative returns
- XIV-SPY roll return strategy, cumulative returns
- Return-on-equity (ROE)
- calculation
- factor model, fitting
- one-factor model, application
- Risk-free rate
- Riskless arbitrage
- Riskless portfolio
- Risk parity
- allocation method
- portfolio
- Risky assets, riskiness (comparison)
- Routing
- optimization
- rTree.m
- rTreeLSBoost.m
- rTree_SPX.m
- Rule 610
- R (language), usage
- RV(t+1)- RV(t) strategy, cumulative returns
- RV(t+1)- VIX(t)
- strategy
S
- SciPy packages, usage
- Scripting languages
- Securities and Exchange Commission (SEC) (endnote)
- Securities Investor Protection Corporation (SIPC)
- sellOrderBook
- Sequential processing
- Settlement risk
- Sharadar, Core U.S. Fundamentals database
- Sharpe ratio
- increase
- logarithm, maximization
- maximization
- regression tree, boosting (impact)
- value
- Short interest
- Short options position, risk
- Short stocks, high/low implied moments
- shortStraddle_LO.m
- Short volatility strategy
- Short VX, long SPY
- contrast
- performance comparison
- Sigmoid functions
- Signal processing
- Sniffler orders
- SIPC. See Securities Investor Protection Corporation
- SIP feed
- Size-independent input factors
- Skew
- computation
- Skewness factor
- Slope, Kalman filter estimate (usage)
- Small-cap (SML) stocks, ROE one-factor model (application)
- Smart betas
- SMB
- factor
- portfolio return
- time-series factor
- SNDK
- S&P Capital IQ (QuantHouse)
- SPLV
- SPX
- component straddles/index straddles (contrast), dispersion trading (usage)
- dispersion trading
- index
- stocks. sorting
- SPX component stocks
- cross-validated regression tree
- fundamental cross-sectional factor model
- liquidity factor
- one-factor model
- statistical factor
- stepwise regression, fundamental factors (usage)
- two-factor models
- SPY
- actual return
- levered compounded returns, comparison
- long SPY, short VX
- contrast
- performance comparison
- out-of-sample accuracy
- purchase
- regression tree
- returns
- prediction
- prediction task
- stepwise regression, out-of-sample performance
- volatility
- prediction
- XIV (hedge ratio determination), Kalman filter (usage)
- XIV-SPY roll return strategy, cumulative returns
- SR Labs
- State space models (SSMs)
- application
- SSM_beta_EWA_EWC.m
- Statistical factors
- chart
- usefulness
- Statistical significance, achievement
- stepwiselm function
- stepwiseLR.m
- Stepwise regression
- factors selection
- fundamental factors, usage
- out-of-sample performance
- result
- Stochastic indicators
- Stochastic oscillator
- Stocks
- daily historical data
- equal dollar weight
- index, buy-and-hold
- momentum
- options, portfolio (selection)
- returns
- decomposition
- prediction, option prices (usage)
- selection, application
- Stopping condition, meeting
- Straddles
- crude oil futures options straddles, shorting
- inception
- long position
- SPX component straddles/index straddles (contrast), dispersion trading (usage)
- usage
- Strangle
- shorting
- Strategy Studio (Lime Brokerage)
- Strike price
- Sub-period log returns
- SunGard, Astec database
- Supervised training, usage
- Support vector machine (SVM)
- cross-validation, usage
- illustration
- Support vectors, set (formation)
- Survivorship-bias-free database
- Swiss National Bank, pegging announcement
T
- Tail-dependence
- Tail risk
- Tangency portfolio
- capital allocation, correspondence
- determination
- Technical analysis
- Tenor
- duration
- satisfaction
- testRatio, usage
- Theta, value
- Thomson Reuters
- Thomson Reuters News Analytics
- Tickdata
- Tick rule
- Time-series analysis
- Time-series factors
- construction
- Time-series mean reversion
- Time-series techniques
- Trades and quotes (TAQ) data
- Trade secrets, leakage
- Trade tick
- absence
- Trading
- Bollinger band trading strategy
- contracts trading dates
- correlation trading
- dispersion trading
- intraday trading
- model, regression tree basis
- platforms
- criteria
- quant trading, programming languages (ranking)
- service function
- strategies
- AI basis
- success, question
- trends
- volatility, options (absence)
- Training set
- CAGR
- predictions
- replacement
- trainRatio, indication
- TreeBagger function
- Trending techniques
- Trends
- Twitter feeds, usage
- Two-factor loadings, usage
- Two-factor model
U
- UMD
- momentum
- Uninformed traders, identification
- Unit variance
- Univariate regression
- Unlevered CAGR
- expectation
- obtaining
- Unsupervised training, usage
- U.S. Dollars (USD)
- AR(10) model coefficients, application
- AR(10) trading strategy, usage
- User acceptance testing (UAT) account, usage
- USMV
- USO, out-of-sample accuracy
V
- valRatio, zero level
- Value-minus-growth factor
- VAR
- VAR(1) model, application
- VAR(1) trading strategy, application
- Variances, reduction (absence)
- VAR models, usage
- VAR(p)
- vartovec function
- Vector error correction (VEC)
- models
- VEC(0) model, application
- Vega
- computation
- value
- Vega-neutrality, achievement
- Vega-neutral weighting scheme
- Viterbi, Andrew
- Volatility (VIX)
- change
- implied market volatility, daily change
- increase
- index
- prediction
- example
- realized volatility (RV)
- risk, exposure minimum
- shorting
- smirk
- trading volatility, options (absence)
- Vol, computation
- Volume bars, data structure
- VX
- levered compounded returns, comparison
- short VX, long SPY
- contrast
- performance comparison
- VX-ES
- roll returns strategy, cumulative returns
- strategy
- VXX
- holding
- purchase/sale
- VXX/XIV strategy
W
- Wavelet filter
- Weak learners
- “Weekly Petroleum Status Report”
- White noise
- k-dimensional Guassian white noise
- WRDS
- data
- package
X
- XIV/SPY (hedge ratio determination), Kalman filter (usage)
- XIV-SPY roll return strategy, cumulative returns
Z
- Zero mean
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