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People think all quant finance is the same as HFT. It's not. A big part of algorithmic trading and stat arb is portfolio management, including deriving alpha,
by joshu 15y ago
People think all quant finance is the same as HFT. It's not.
A big part of algorithmic trading and stat arb is portfolio management, including deriving alpha, building risk models, etc.
The bible is: http://www.amazon.com/Active-Portfolio-Management-Quantitative-Controlling/dp/0070248826 http://www.amazon.com/Active-Portfolio-Management-Quantitati...
- justnoise 15y agoExactly. Where I used to work, anyone without a quant background would be urged to buy a copy of Grinold and Kahn the bible you suggested above or "Quantitative Equity Portfolio Management" by Chincarini and Kim.