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You're reading from  Algorithmic Short Selling with Python

Product typeBook
Published inSep 2021
PublisherPackt
ISBN-139781801815192
Edition1st Edition
Concepts
Financial Technology
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Author (1)
Laurent Bernut
Laurent Bernut
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Laurent Bernut

Laurent Bernut has 2 decades of experience in alternative investment space. After the US CPA, he compiled financial statements in Japanese and English for a Tokyo Stock Exchange-listed corporation. After serving as an analyst in two Tokyo-based hedge funds, he joined Fidelity Investments Japan as a dedicated quantitative short-seller. Laurent has built numerous portfolio management systems and developed several quantitative models across various platforms. He currently writes and runs algorithmic strategies and is an undisputed authority on short selling on Quora, where he was nominated top writer for 2017, 2018, and 2019.
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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
Published in: Sep 2021Publisher: PacktISBN-13: 9781801815192
© 2021 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Laurent Bernut

Laurent Bernut has 2 decades of experience in alternative investment space. After the US CPA, he compiled financial statements in Japanese and English for a Tokyo Stock Exchange-listed corporation. After serving as an analyst in two Tokyo-based hedge funds, he joined Fidelity Investments Japan as a dedicated quantitative short-seller. Laurent has built numerous portfolio management systems and developed several quantitative models across various platforms. He currently writes and runs algorithmic strategies and is an undisputed authority on short selling on Quora, where he was nominated top writer for 2017, 2018, and 2019.
Read more about Laurent Bernut

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