Research Craft: Predictors, Backtests, Measurement, Portfolios

Process and Data

1. 1 The Research Process 8 solved exercises
2. 2 Market Data for Research 8 solved exercises
3. 3 Point-in-Time Data and the Biases 8 solved exercises
4. 4 Universe, Symbology and Corporate Actions 8 solved exercises
5. 5 Stylised Facts of Returns 8 solved exercises

The Predictor Catalogue

1. 6 Anatomy of a Predictor 8 solved exercises
2. 7 Price and Volume Features 8 solved exercises
3. 8 Order-Book Features 8 solved exercises
4. 9 Trade-Flow Features 8 solved exercises
5. 10 Cross-Sectional and Cross-Asset Features 8 solved exercises
6. 11 Fundamental, Analyst and Event Features 8 solved exercises
7. 12 Alternative and Text Data 8 solved exercises
8. 13 Half-Life, Decay and Stability 8 solved exercises

From Predictors to Forecasts

1. 14 Signal Combination 8 solved exercises
2. 15 From Signal to Forecast 8 solved exercises

Backtesting at Four Levels

1. 16 Vectorised Backtests 8 solved exercises
2. 17 Event-Driven Backtests 8 solved exercises
3. 18 Order-Book Replay Simulation 8 solved exercises
4. 19 Simulation Versus Live 8 solved exercises
5. 20 Overfitting 8 solved exercises
6. 21 Live Experiments 8 solved exercises

Measurement, Risk and Portfolios

1. 22 Performance Measurement 8 solved exercises
2. 23 Measuring Market Making and Execution 8 solved exercises
3. 24 Risk Models 8 solved exercises
4. 25 Portfolio Construction I 8 solved exercises
5. 26 Portfolio Construction II 8 solved exercises
6. 27 Transaction Costs in Research 8 solved exercises
7. 28 Capacity, Decay and Crowding 8 solved exercises
8. 29 Build a Research Workflow 8 solved exercises

29 chapters — 29 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.