| dc.contributor.advisor | John DeTore. | en_US |
| dc.contributor.author | Liu, Jack Wen-Hao | en_US |
| dc.contributor.other | Sloan School of Management. | en_US |
| dc.date.accessioned | 2011-09-13T17:55:34Z | |
| dc.date.available | 2011-09-13T17:55:34Z | |
| dc.date.copyright | 2011 | en_US |
| dc.date.issued | 2011 | en_US |
| dc.identifier.uri | http://hdl.handle.net/1721.1/65809 | |
| dc.description | Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. | en_US |
| dc.description | Cataloged from PDF version of thesis. | en_US |
| dc.description | Includes bibliographical references (p. 25). | en_US |
| dc.description.abstract | This paper presents and simulates a long-short market-neutral quantitative equity trading strategy for US stocks. First, economic intuition and academic researches for which this trading strategy is based upon will be explained. Second, to ensure that the trading strategy simulation would be as realistic as possible, I will introduce some trading constraints, investment guidelines, and other assumptions/ restrictions about the strategy's backtest setting. Third, I will put in detail how the trading model is built and how the strategy is executed. Fourth, the strategy's backtest result will be presented. Fifth, I will use some risk factors to analyze the strategy's performance as well as compare the strategy's results against these risk factors. Lastly, I conclude with several insights drawn from this research on quantitative investment. | en_US |
| dc.description.statementofresponsibility | by Jack Wen-Hao Liu. | en_US |
| dc.format.extent | 31 p. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Massachusetts Institute of Technology | en_US |
| dc.rights | M.I.T. theses are protected by
copyright. They may be viewed from this source for any purpose, but
reproduction or distribution in any format is prohibited without written
permission. See provided URL for inquiries about permission. | en_US |
| dc.rights.uri | http://dspace.mit.edu/handle/1721.1/7582 | en_US |
| dc.subject | Sloan School of Management. | en_US |
| dc.title | A quantitative equity strategy based on factors formed by industries in the S&P500 | en_US |
| dc.type | Thesis | en_US |
| dc.description.degree | S.M. | en_US |
| dc.contributor.department | Sloan School of Management | |
| dc.identifier.oclc | 750498676 | en_US |
