big prog

reading/001_Quantitative_Trading/notes.ipynb

@@ -1,5 +1,81 @@
 {
- "cells": [],
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "id": "ec753176",
+   "metadata": {},
+   "source": [
+    "# Notes"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "5a622bb3",
+   "metadata": {},
+   "source": [
+    "\"The largest block of time I need to spend is in the morning\n",
+    "before the market opens: I typically need to run various programs to\n",
+    "download and process the latest historical data, read company news\n",
+    "that comes up on my alert screen, run programs to generate the orders for the day, and then launch a few baskets of orders before\n",
+    "the market opens and start a program that will launch orders automatically throughout the day. I would also update my spreadsheet\n",
+    "to record the previous day’s profit and loss (P&L) of the different\n",
+    "strategies I run based on the brokerages’ statements. All of this takes\n",
+    "about two hours.\" - Quant trader morning routine"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "7aab1f0d",
+   "metadata": {},
+   "source": [
+    "**Defn** directional trades - long or\n",
+    "short only"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "152e6f82",
+   "metadata": {},
+   "source": [
+    "**Defn**  dollar-neutral trades - hedged or pair trades\n"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "3bf5cdfc",
+   "metadata": {},
+   "source": [
+    "**Defn** dollar neutral portfolio:\n",
+    "\n",
+    "The market value of the long positions\n",
+    "equals the market value of the short positions"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "b7459bc6",
+   "metadata": {},
+   "source": [
+    "**Defn** market neutral portfolio:\n",
+    "\n",
+    "The beta of the portfolio with respect to a market index is close to zero, where beta measures the ratio between the expected returns of the portfolio and the expected returns of the market index"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "48aa401e",
+   "metadata": {},
+   "source": [
+    "Where can we find good strategies?"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "8ec7516e",
+   "metadata": {},
+   "source": []
+  }
+ ],
  "metadata": {
   "language_info": {
    "name": "python"