Navigating the Factor Zoo av Michael Zhang, Tao Lu, Chuan Shi

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<p>Bridging the gap between theoretical asset pricing and industry practices in factors and factor investing, Zhang et al. provides a comprehensive treatment of factors, along with industry insights on practical factor development.</p><p>Chapters cover a wide array of topics, including the foundations of quantamentals, the intricacies of market beta, the significance of statistical moments, the principles of technical analysis, and the impact of market microstructure and liquidity on trading. Furthermore, it delves into the complexities of tail risk and behavioral finance, revealing how psychological factors affect market dynamics. The discussion extends to the sophisticated use of option trading data for predictive insights and the critical differentiation between outcome uncertainty and distribution uncertainty in financial decision-making. A standout feature of the book is its examination of machine learning''s role in factor investing, detailing how it transforms data preprocessing