151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature (Forthcoming)

257 Pages Posted: 13 Sep 2018  

Zura Kakushadze

Quantigic Solutions LLC; Free University of Tbilisi

Juan A. Serur

University of CEMA

Date Written: August 17, 2018

Abstract

We provide detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This includes stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility (as an asset class), real estate, distressed assets, cash, cryptocurrencies, miscellany (such as weather, energy, inflation), global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms (such as artificial neural networks, Bayes, k-nearest neighbors). We also give: source code for illustrating out-of-sample backtesting with explanatory notes; around 2,000 bibliographic references; and over 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical.

Note: This is a preview version containing parts of the following book: Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature (Forthcoming).

Keywords: bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

JEL Classification: G00, G10, G11, G12, G15, G20, G21, G23, G30, G33, G34

Suggested Citation

Kakushadze, Zura and Serur, Juan Andrés, 151 Trading Strategies (August 17, 2018). Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature (Forthcoming). Available at SSRN: https://ssrn.com/abstract=3247865

Zura Kakushadze (Contact Author)

Quantigic Solutions LLC ( email )

1127 High Ridge Road #135
Stamford, CT 06905
United States
6462210440 (Phone)
6467923264 (Fax)

HOME PAGE: http://www.linkedin.com/in/zurakakushadze

Free University of Tbilisi ( email )

Business School and School of Physics
240, David Agmashenebeli Alley
Tbilisi, 0159
Georgia

Juan Andrés Serur

University of CEMA ( email )

No Address Available

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