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1、QuantitativeAnalyticsAPracticalGuideToQuantitativePortfolioTradingDanielBloch30thofDecember2014ThecopyrighttothiscomputersoftwareanddocumentationisthepropertyofQuantFinanceLtd.Itmaybeusedand/orcopiedonlywiththewrittenconsentofthecompanyorinaccordancewiththetermsandconditionsstipulatedinth
2、eagreement/contractunderwhichthematerialhasbeensupplied.Copyright©2015QuantFinanceLtdQuantitativeAnalytics,LondonCreated:14January2015APracticalGuideToQuantitativePortfolioTradingDanielB1LOCHQUANTFINANCELTDeBook30thofDecember2014Version1.011db@quantfin.euAbstractWediscussrisk,preferenceand
3、valuationinclassicaleconomics,whichledacademicstodevelopatheoryofmarketprices,resultinginthegeneralequilibriumtheories.However,inpractice,thedecisionprocessdoesnotfollowthattheorysincethequalitativeaspectcomingfromhumandecisionmakingprocessismissing.Further,alargenumberofstudiesinempirica
4、lfinanceshowedthatfinancialassetsexhibittrendsorcycles,resultinginpersistentinefficienciesinthemarket,thatcanbeexploited.Theunevenassimilationofinformationemphasisedthemultifractalnatureofthecapitalmarkets,recognisingcomplexity.Newtheoriestoexplainfinancialmarketsdeveloped,amongwhichisamultit
5、udeofinteractingagentsformingacomplexsystemcharacterisedbyahighlevelofuncertainty.Recently,withtheincreasedavailabilityofdata,econophysicsemergedasamixofphysicalsciencesandeconomicstogetthebestofbothworld,inviewofanalysingmoredeeplyassets’predictability.Forinstance,dataminingandmachinelea
6、rningmethodologiesprovidearangeofgeneraltechniquesforclassification,prediction,andoptimisationofstructuredandunstructureddata.Usingthesetechniques,onecandescribefinancialmarketsthroughdegreesoffreedomwhichmaybebothqualitativeandquantitativeinnature.Inthisbookwedetailhowthegrowinguseofquanti
7、tativemethodschangedfinanceandinvestmenttheory.Themostsignificantbenefitbeingthepowerofautomation,enforcingasystematicinvestmentapproachandastructuredandunifiedframework.Wepresentinachronologicalorderthenecessarystepstoidentifytradingsignals,buildquantitativestrategies,
