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  • Book
  • © 2018

RETRACTED BOOK: 151 Trading Strategies

Palgrave Macmillan
  • Includes detailed descriptions and more than 550 mathematical formulas for more than 150 trading strategies across a host of asset classes and trading styles

  • Features trading strategies for a variety of asset classes and trading styles including stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage

  • Showcases source code for out-of sample backtesting, and trading strategies based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors

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Table of contents (20 chapters)

  1. Front Matter

    Pages i-vi
  2. RETRACTED CHAPTER: Introduction and Summary

    • Zura Kakushadze, Juan Andrés Serur
    Pages 1-1Open Access
  3. RETRACTED CHAPTER: Options

    • Zura Kakushadze, Juan Andrés Serur
    Pages 5-5Open Access
  4. RETRACTED CHAPTER: Stocks

    • Zura Kakushadze, Juan Andrés Serur
    Pages 41-41Open Access
  5. RETRACTED CHAPTER: Exchange-Traded Funds (ETFs)

    • Zura Kakushadze, Juan Andrés Serur
    Pages 87-87Open Access
  6. RETRACTED CHAPTER: Fixed Income

    • Zura Kakushadze, Juan Andrés Serur
    Pages 99-99Open Access
  7. RETRACTED CHAPTER: Indexes

    • Zura Kakushadze, Juan Andrés Serur
    Pages 121-121Open Access
  8. RETRACTED CHAPTER: Volatility

    • Zura Kakushadze, Juan Andrés Serur
    Pages 131-131Open Access
  9. RETRACTED CHAPTER: Foreign Exchange (FX)

    • Zura Kakushadze, Juan Andrés Serur
    Pages 143-143Open Access
  10. RETRACTED CHAPTER: Commodities

    • Zura Kakushadze, Juan Andrés Serur
    Pages 155-155Open Access
  11. RETRACTED CHAPTER: Futures

    • Zura Kakushadze, Juan Andrés Serur
    Pages 165-165Open Access
  12. RETRACTED CHAPTER: Structured Assets

    • Zura Kakushadze, Juan Andrés Serur
    Pages 181-181Open Access
  13. RETRACTED CHAPTER: Convertibles

    • Zura Kakushadze, Juan Andrés Serur
    Pages 193-193Open Access
  14. RETRACTED CHAPTER: Tax Arbitrage

    • Zura Kakushadze, Juan Andrés Serur
    Pages 199-199Open Access
  15. RETRACTED CHAPTER: Miscellaneous Assets

    • Zura Kakushadze, Juan Andrés Serur
    Pages 205-205Open Access
  16. RETRACTED CHAPTER: Distressed Assets

    • Zura Kakushadze, Juan Andrés Serur
    Pages 219-219Open Access
  17. RETRACTED CHAPTER: Real Estate

    • Zura Kakushadze, Juan Andrés Serur
    Pages 229-229Open Access
  18. RETRACTED CHAPTER: Cash

    • Zura Kakushadze, Juan Andrés Serur
    Pages 241-241Open Access
  19. RETRACTED CHAPTER: Cryptocurrencies

    • Zura Kakushadze, Juan Andrés Serur
    Pages 249-249Open Access
  20. RETRACTED CHAPTER: Global Macro

    • Zura Kakushadze, Juan Andrés Serur
    Pages 263-263Open Access

About this book

The book provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students.

Keywords

  • Option
  • stock
  • Exchange-traded Fund (ETF)
  • fixed income
  • Index
  • Volatility
  • Foreign Exchange (FX)
  • Commodities
  • Futures
  • Structured Assets
  • Convertible Bond
  • Tax Arbitrage
  • Inflation
  • Energy
  • Distressed Assets
  • Real Estate
  • Cash
  • Cryptocurrencies
  • Global Macro
  • Infrastructure

Reviews

“If you want to work as a trader or quant on Wall Street, you have to walk the walk and talk the talk. This unique book is a comprehensive introduction to a wide variety of tried and tested trading strategies. I highly recommend a 152nd trading strategy called buy this book!” (Peter Carr, Chair of Finance and Risk Engineering Department, NYU’s Tandon School of Engineering; and 2010 Financial Engineer of the Year, International Association for Quantitative Finance & Sungard)

“This book is an encyclopedic guided tour of « quant » investment strategies, from the simplest ones (like trend following) to much more exotic ones using sophisticated derivative contracts. No claim is made about the profitability of these strategies: one knows all too well how much implementation details and transaction costs matter. But no quant trader can afford ignoring what’s out there, as a source of inspiration or as a benchmark for new ideas.” (Jean-Philippe Bouchaud, Chairman and Chief Scientist, Capital Fund Management; Professor, École Normale Supérieure; Member, French Academy of Sciences; and Co-Director, CFM-Imperial Institute of Quantitative Finance) 

“Zura Kakushadze and Juan Andrés Serur have created a masterful encyclopedia of quantitative trading strategies.  The authors offer us a rigorous but accessible treatment of the mathematical foundations of these strategies. The coverage is comprehensive, starting with simple and well-known strategies such as covered call and then moving naturally to strategies involving cryptocurrencies.  The supporting material such as a detailed glossary and an extensive list of references will make this book an essential reference for financial economists and investment professionals.” (Hossein Kazemi, Michael & Cheryl Philipp Endowed Professor of Finance, University of Massachusetts at Amherst; and Editor-in-Chief, The Journal of Alternative Investments) 

“The successful trading of financial instruments is both a science and an art, just as the efforts of a chef reflect both gastronomic artistry and the underlying chemical and thermal processes of cooking.  In 151 Trading Strategies financial traders are provided with a compendium of sound recipes, spanning the broad range of methods that can be applied to modern investment practice.   The exposition of both the mathematics and intuition of each described trade is clear and concise.   Readers will appreciate the inclusion of extensive computer code so as to reduce effort needed to implement any required calculations.” (Dan diBartolomeo, President, Northfield Information Systems; and Editor, Journal of Asset Management)

“A real tour de force—151 Trading Strategies provides the most comprehensive uncovering of popular hedge fund strategies. By revealing all the hedge funds’ secret sauce, Kakushadze and Serur have now rendered everything as beta-strategies. Time to lower ‘em fees!” (Jim Kyung-Soo Liew, Professor, Carey Business School, Johns Hopkins University; Advisory Board Member, The Journal of Portfolio Management; and Co-Founder, SoKat)

“This book is an impressive concentration of strategies and formulas to expand knowledge in quantitative finance; it’s a must-read for anyone who wants to drastically improve his or her expertise in financial markets dynamics.”  (Daniele Bernardi, CEO, DIAMAN Capital; and Chairman of the Board, INVESTORS’ Magazine Italia)


Authors and Affiliations

  • Quantigic Solutions LLC, Stamford, USA

    Zura Kakushadze

  • Universidad del CEMA, Buenos Aires, Argentina

    Juan Andrés Serur

About the authors

Zura Kakushadze received his Ph.D. in theoretical physics from Cornell University, USA at 23, was a Postdoctoral Fellow at Harvard University, USA and an Assistant Professor at C.N. Yang Institute for Theoretical Physics at Stony Brook University, USA.  He received an Alfred P. Sloan Foundation Fellowship in 2001. After expanding into quantitative finance, he was a Director at RBC Capital Markets, Managing Director at WorldQuant, Executive Vice President and substantial shareholder at Revere Data (now part of FactSet), and Adjunct Professor at the University of Connecticut, USA. Currently he is the President and CEO of Quantigic® Solutions and a Full Professor at Free University of Tbilisi, Georgia.  He has over 17 years of hands-on experience in quantitative trading and finance, 130+ publications in physics, finance, cancer research and other fields, 3,400+ citations and h-index 30+, 130,000+ downloads on SSRN, and over a quarter million followers on LinkedIn.   

Juan Andrés Serur holds a Master's Degree in Finance from the University of CEMA, Argentina. With more than 6 years of experience in trading in the stock market, he currently works as a quantitative analyst and strategist in an Argentine quantitative asset management firm and as a financial consultant for large corporations. In addition, he serves as the Academic Secretary of the Master of Finance Program at the University of CEMA, where he teaches undergraduate and postgraduate computational finance courses as an Assistant Professor. In 2016 he won the First Prize in an Argentine Capital Markets Simulation Challenge for Universities and Professional Institutions. 




Bibliographic Information