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Introduction
Preliminaries
Getting data from WRDS
Asset returns
Math background
Quant interview problem
A model of prices
Econometrics
Probability
Prediction: First look
Probability theory
Pseudorandom number generation
Probability distributions
Covariance
Parameter estimation
Regression
Linear regression
Implementing regressions
Equity returns
U.S. market returns
Shiller’s CAPE
Factor regressions
Principal Component Analysis
Portfolio optimization
Diversification
Efficient portfolios
Numerical optimization
Time series modeling
Time series models
Applications
Markov Switching model
Volatility modeling
Reference
Notation
Additional sources
Bibliography
Index
