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Algorithmic Short Selling with Python

Algorithmic Short Selling with Python

By : Laurent Bernut
4.7 (29)
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Algorithmic Short Selling with Python

Algorithmic Short Selling with Python

4.7 (29)
By: Laurent Bernut

Overview of this book

If you are in the long/short business, learning how to sell short is not a choice. Short selling is the key to raising assets under management. This book will help you demystify and hone the short selling craft, providing Python source code to construct a robust long/short portfolio. It discusses fundamental and advanced trading concepts from the perspective of a veteran short seller. This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short hedge fund algorithmic traders. You’ll explore key concepts such as trading psychology, trading edge, regime definition, signal processing, position sizing, risk management, and asset allocation, one obstacle at a time. Along the way, you’ll will discover simple methods to consistently generate investment ideas, and consider variables that impact returns, volatility, and overall attractiveness of returns. By the end of this book, you’ll not only become familiar with some of the most sophisticated concepts in capital markets, but also have Python source code to construct a long/short product that investors are bound to find attractive.
Table of Contents (17 chapters)
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14
Other Books You May Enjoy
15
Index

Summary

Managing a long/short portfolio feels like upgrading from a family SUV to a sports car. Without proper training, people tend to take their shiny new toy for an off-road spin. In this chapter, we looked at the major levers to engineer the returns you need to attract the clientele you want. Those are gross exposure or leverage, portfolio heat or open risk, net exposure or directionality, net beta or residual sensitivity to the market, and concentration or the net number of names in the portfolio. Those variables give access to volatility, performance, correlation, and liquidity as in market impact.

Over the next chapters, we will take you through a step-by-step method to build an equities long/short product. We will use a powerful technique to reclassify stocks in a bullish, bearish, sideways regime. From there, we will discuss execution: entries, exits, order prioritization. We will conclude with a portfolio management system, the most underrated tool. But first, let&apos...

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Algorithmic Short Selling with Python
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