TY  - BOOK
AU  - Zhang, Michael
AU  - Lu, Tao
AU  - Shi, Chuan
TI  - Navigating the factor zoo: the science of quantitative investing
SN  - 9781032768410
U1  - 332.63 
PY  - 2025///
CY  - New York
PB  - Routledge
KW  - Mathematic--Statistics
KW  - Quantitative--Finance
N1  - Table of contents:

Preface

 

Chapter 1. Factor Investing

 

Chapter 2. Quantamentals

 

Chapter 3. Statistical Moments as Factors

 

Chapter 4. Market Beta

 

Chapter 5. Technical Analysis Factors

 

Chapter 6. Microstructure and Liquidity

 

Chapter 7. Tail Risk

 

Chapter 8. Behavioral Finance

 

Chapter 9. Option Information

 

Chapter 10. Uncertainty

 

Chapter 11. Alternative Data

 

Chapter 12. Machine Learning in Factor Investing

 

Epilogue


[https://www.routledge.com/Navigating-the-Factor-Zoo-The-Science-of-Quantitative-Investing/Zhang-Lu-Shi/p/book/9781032768410?srsltid=AfmBOopjZopxZv_rbVuN3kmTrUXcs4ZeMy6Te8D7EOdaObo3_7t4K_zF]
N2  - Bridging the gap between theoretical asset pricing and industry practices in factors and factor investing, Zhang et al. provides a comprehensive treatment of factors, along with industry insights on practical factor development.

Chapters cover a wide array of topics, including the foundations of quantamentals, the intricacies of market beta, the significance of statistical moments, the principles of technical analysis, and the impact of market microstructure and liquidity on trading. Furthermore, it delves into the complexities of tail risk and behavioral finance, revealing how psychological factors affect market dynamics. The discussion extends to the sophisticated use of option trading data for predictive insights and the critical differentiation between outcome uncertainty and distribution uncertainty in financial decision-making. A standout feature of the book is its examination of machine learning's role in factor investing, detailing how it transforms data preprocessing, factor discovery, and model construction. Overall, this book provides a holistic view of contemporary financial markets, highlighting the challenges and opportunities in harnessing alternative data and machine learning to develop robust investment strategies.

(https://www.routledge.com/Navigating-the-Factor-Zoo-The-Science-of-Quantitative-Investing/Zhang-Lu-Shi/p/book/9781032768410?srsltid=AfmBOopjZopxZv_rbVuN3kmTrUXcs4ZeMy6Te8D7EOdaObo3_7t4K_zF)
ER  -