Quantitative Strategies for Achieving Alpha

Amazon Price: $109.99 $51.99 You save: $58.00 (53%). (as of April 18, 2019 2:23 am – Details). Product prices and availability are accurate as of the date/time indicated and are subject to change. Any price and availability information displayed on the Amazon site at the time of purchase will apply to the purchase of this product.

This book provides a new way of understanding modern money and markets by stressing their self-fulfilling/self-destructive properties as institutions from evolutionary perspectives. In contrast to an unrealistic view of the neoclassical general equilibrium theory that models the price mechanism of a “concentrated market” without using money, presented here is an alternative theory of markets on how a realistic “dispersive market” using a stock of money and inventory as buffers can work as a multilayered price-quantitative adjustment system.

The central features of modern sovereign moneys seen in inconvertible IOUs of central banknotes can be depicted as “The Emperor's New Clothes” that correspond to the U.S. dollar and the Euro void of their own value. The image captures such characteristics of national currencies as “self-fulfilling ideas” by the inertia of conventions in the past and expectations of an uncertain future. Both ideas normally make money more acceptable and circulative so that its value can become more stable unless expectations for the future turn very pessimistic.

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Digital currencies are a fairly new phenomenon brought about by the spectacular rise of the internet. While Bitcoin is the most famous, there are numerous other digital currencies?from Amazon Coin to Zetacoin. Beyond Bitcoin explores the economic forces underlying the design of their features and their potential. Halaburda and Sarvary argue that digital currencies are best understood by considering the economic incentives driving their creators and users. The authors present a framework that will allow systemic analysis of this dynamic environment and support further discussion of the design of digital currencies' features and the competition in the market.

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Alpha, higher-than-expected returns generated by an investment strategy, is the holy grail of the investment world. Achieve alpha, and you’ve beaten the market on a risk-adjusted basis. Quantitative Strategies for Achieving Alpha was borne from equity analyst Richard Tortoriello’s efforts to create a series of quantitative stock selection models for his company, Standard & Poor’s, and produce a “road map” of the market from a quantitative point of view.

With this practical guide, you will gain an effective instrument that can be used to improve your investment process, whether you invest qualitatively, quantitatively, or seek to combine both. Each alpha-achieving strategy has been extensively back-tested using Standard & Poor’s Compustat Point in Time database and has proven to deliver alpha over the long term. Quantitative Strategies for Achieving Alpha presents a wide variety of individual and combined investment strategies that consistently predict above-market returns. The result is a comprehensive investment mosaic that illustrates clearly those qualities and characteristics that make an investment attractive or unattractive. This valuable work contains:
A wide variety of investment strategies built around the seven basics that drive future stock market returns: profitability, valuation, cash flow generation, growth, capital allocation, price momentum, and red flags (risk)
A building-block approach to quantitative analysis based on 42
single-factor and nearly 70 two- and three-factor backtests, which
show the investor how to effectively combine individual factors into robust investment screens and models
More than 20 proven investment screens for generating winning investment ideas
Suggestions for using quantitative strategies to manage risk and for structuring your own quantitative portfolios
Advice on using quantitative principles to do qualitative investment research, including sample spreadsheets

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