Quantitative Trading With R

Quantitative Trading with R PDF
Author: Harry Georgakopoulos
Publisher: Springer
ISBN: 1137437472
Size: 78.55 MB
Format: PDF, ePub
Category : Business & Economics
Languages : un
Pages : 272
View: 3607

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Quantitative Finance with R offers a winning strategy for devising expertly-crafted and workable trading models using the R open source programming language, providing readers with a step-by-step approach to understanding complex quantitative finance problems and building functional computer code.

Quantitative Trading With R

Quantitative Trading with R PDF
Author: Harry Georgakopoulos
Publisher: Palgrave Macmillan
ISBN: 9781137354075
Size: 34.15 MB
Format: PDF
Category : Business & Economics
Languages : un
Pages : 292
View: 6672

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Quantitative Trading with R offers readers a glimpse into the daily activities of quants/traders who deal with financial data analysis and the formulation of model-driven trading strategies. Based on the author's own experience as a quant, lecturer, and high-frequency trader, this book illuminates many of the problems that these professionals encounter on a daily basis. Answers to some of the more relevant questions are provided, and the easy-to-follow examples show the reader how to build functional R computer code in the process. Georgakopoulos has written an invaluable introductory work for students, researchers, and practitioners alike. Anyone interested in applying programming, mathematical, and financial concepts to the creation and analysis of simple trading strategies will benefit from the lessons provided in this book. Accessible yet comprehensive, Quantitative Trading with R focuses on helping readers achieve practical competency in utilizing the popular R language for data exploration and strategy development. Engaging and straightforward in his explanations, Georgakopoulos outlines basic trading concepts and walks the reader through the necessary math, data analysis, finance, and programming that quants/traders rely on. To increase retention and impact, individual case studies are split up into smaller modules. Chapters contain a balanced mix of mathematics, finance, and programming theory, and cover such diverse topics such as statistics, data analysis, time series manipulation, back-testing, and R-programming. In Quantitative Trading with R, Georgakopoulos offers up a highly readable yet in-depth guidebook. Readers will emerge better acquainted with the R language and the relevant packages that are used by academics and practitioners in the quantitative trading realm.

Automated Trading With R

Automated Trading with R PDF
Author: Chris Conlan
Publisher: Apress
ISBN: 1484221788
Size: 57.88 MB
Format: PDF
Category : Computers
Languages : un
Pages : 205
View: 1329

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Learn to trade algorithmically with your existing brokerage, from data management, to strategy optimization, to order execution, using free and publicly available data. Connect to your brokerage’s API, and the source code is plug-and-play. Automated Trading with R explains automated trading, starting with its mathematics and moving to its computation and execution. You will gain a unique insight into the mechanics and computational considerations taken in building a back-tester, strategy optimizer, and fully functional trading platform. The platform built in this book can serve as a complete replacement for commercially available platforms used by retail traders and small funds. Software components are strictly decoupled and easily scalable, providing opportunity to substitute any data source, trading algorithm, or brokerage. This book will: Provide a flexible alternative to common strategy automation frameworks, like Tradestation, Metatrader, and CQG, to small funds and retail traders Offer an understanding of the internal mechanisms of an automated trading system Standardize discussion and notation of real-world strategy optimization problems What You Will Learn Understand machine-learning criteria for statistical validity in the context of time-series Optimize strategies, generate real-time trading decisions, and minimize computation time while programming an automated strategy in R and using its package library Best simulate strategy performance in its specific use case to derive accurate performance estimates Understand critical real-world variables pertaining to portfolio management and performance assessment, including latency, drawdowns, varying trade size, portfolio growth, and penalization of unused capital Who This Book Is For Traders/practitioners at the retail or small fund level with at least an undergraduate background in finance or computer science; graduate level finance or data science students

Learning Quantitative Finance With R

Learning Quantitative Finance with R PDF
Author: Dr. Param Jeet
Publisher: Packt Publishing Ltd
ISBN: 1786465256
Size: 33.38 MB
Format: PDF, Docs
Category : Computers
Languages : un
Pages : 284
View: 7545

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Implement machine learning, time-series analysis, algorithmic trading and more About This Book Understand the basics of R and how they can be applied in various Quantitative Finance scenarios Learn various algorithmic trading techniques and ways to optimize them using the tools available in R. Contain different methods to manage risk and explore trading using Machine Learning. Who This Book Is For If you want to learn how to use R to build quantitative finance models with ease, this book is for you. Analysts who want to learn R to solve their quantitative finance problems will also find this book useful. Some understanding of the basic financial concepts will be useful, though prior knowledge of R is not required. What You Will Learn Get to know the basics of R and how to use it in the field of Quantitative Finance Understand data processing and model building using R Explore different types of analytical techniques such as statistical analysis, time-series analysis, predictive modeling, and econometric analysis Build and analyze quantitative finance models using real-world examples How real-life examples should be used to develop strategies Performance metrics to look into before deciding upon any model Deep dive into the vast world of machine-learning based trading Get to grips with algorithmic trading and different ways of optimizing it Learn about controlling risk parameters of financial instruments In Detail The role of a quantitative analyst is very challenging, yet lucrative, so there is a lot of competition for the role in top-tier organizations and investment banks. This book is your go-to resource if you want to equip yourself with the skills required to tackle any real-world problem in quantitative finance using the popular R programming language. You'll start by getting an understanding of the basics of R and its relevance in the field of quantitative finance. Once you've built this foundation, we'll dive into the practicalities of building financial models in R. This will help you have a fair understanding of the topics as well as their implementation, as the authors have presented some use cases along with examples that are easy to understand and correlate. We'll also look at risk management and optimization techniques for algorithmic trading. Finally, the book will explain some advanced concepts, such as trading using machine learning, optimizations, exotic options, and hedging. By the end of this book, you will have a firm grasp of the techniques required to implement basic quantitative finance models in R. Style and approach This book introduces you to the essentials of quantitative finance with the help of easy-to-understand, practical examples and use cases in R. Each chapter presents a specific financial concept in detail, backed with relevant theory and the implementation of a real-life example.

Quantitative Finance With R And Cryptocurrencies

Quantitative Finance with R and Cryptocurrencies PDF
Author: Dean Fantazzini
Publisher: Independently Published
ISBN: 9781090685315
Size: 33.46 MB
Format: PDF, ePub
Category :
Languages : un
Pages : 588
View: 4589

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The main objective of this book is to provide the necessary background to analyze cryptocurrencies markets and prices. To this end, the book consists of three parts: the first one is devoted to cryptocurrencies markets and explains how to retrieve cryptocurrencies data, how to compute liquidity measures with these data, how to calculate bounds for Bitcoin (and cryptocurrencies) fundamental value and how competing exchanges contribute to the price discovery process in the Bitcoin market. The second part is devoted to time series analysis with cryptocurrencies and presents a large set of univariate and multivariate time series models, tests for financial bubbles and explosive price behavior, as well as univariate and multivariate volatility models. The third part focuses on risk and portfolio management with cryptocurrencies and shows how to measure and backtest market risk, how to build an optimal portfolio according to several approaches, how to compute the probability of closure/bankruptcy of a crypto-exchange, and how to compute the probability of death of crypto-assets.All the proposed methods are accompanied by worked-out examples in R using the packages bitcoinFinance and bubble.This book is intended for both undergraduate and graduate students in economics, finance and statistics, financial and IT professionals, researchers and anyone interested in cryptocurrencies financial modelling. Readers are assumed to have a background in statistics and financial econometrics, as well as a working knowledge of R software.

Learning Quantitative Finance With R

Learning Quantitative Finance with R PDF
Author: Dr Param Jeet
Publisher: Packt Publishing
ISBN: 9781786462411
Size: 61.88 MB
Format: PDF, ePub, Mobi
Category : Computers
Languages : un
Pages : 284
View: 6784

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Implement machine learning, time-series analysis, algorithmic trading and moreAbout This Book- Understand the basics of R and how they can be applied in various Quantitative Finance scenarios- Learn various algorithmic trading techniques and ways to optimize them using the tools available in R.- Contain different methods to manage risk and explore trading using Machine Learning.Who This Book Is ForIf you want to learn how to use R to build quantitative finance models with ease, this book is for you. Analysts who want to learn R to solve their quantitative finance problems will also find this book useful. Some understanding of the basic financial concepts will be useful, though prior knowledge of R is not required.What You Will Learn- Get to know the basics of R and how to use it in the field of Quantitative Finance- Understand data processing and model building using R- Explore different types of analytical techniques such as statistical analysis, time-series analysis, predictive modeling, and econometric analysis- Build and analyze quantitative finance models using real-world examples- How real-life examples should be used to develop strategies- Performance metrics to look into before deciding upon any model- Deep dive into the vast world of machine-learning based trading- Get to grips with algorithmic trading and different ways of optimizing it- Learn about controlling risk parameters of financial instrumentsIn DetailThe role of a quantitative analyst is very challenging, yet lucrative, so there is a lot of competition for the role in top-tier organizations and investment banks. This book is your go-to resource if you want to equip yourself with the skills required to tackle any real-world problem in quantitative finance using the popular R programming language.You'll start by getting an understanding of the basics of R and its relevance in the field of quantitative finance. Once you've built this foundation, we'll dive into the practicalities of building financial models in R. This will help you have a fair understanding of the topics as well as their implementation, as the authors have presented some use cases along with examples that are easy to understand and correlate.We'll also look at risk management and optimization techniques for algorithmic trading. Finally, the book will explain some advanced concepts, such as trading using machine learning, optimizations, exotic options, and hedging.By the end of this book, you will have a firm grasp of the techniques required to implement basic quantitative finance models in R.Style and approachThis book introduces you to the essentials of quantitative finance with the help of easy-to-understand, practical examples and use cases in R. Each chapter presents a specific financial concept in detail, backed with relevant theory and the implementation of a real-life example.

Flash Boys

Flash Boys PDF
Author: Michael Lewis
Publisher: Campus Verlag
ISBN: 3593424029
Size: 27.99 MB
Format: PDF, ePub
Category : Business & Economics
Languages : de
Pages : 288
View: 1012

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Mit diesem Buch erhalten Sie das E-Book inklusive! Ein Buch, das die Börse zum Beben bringt Michael Lewis, begnadeter Sachbuchautor, lüftet mit seinem neuen Buch "das dunkelste Geheimnis der Börse". Wer an Börse denkt, hat oft ein Bild im Kopf: wild gestikulierende Makler, die unter immensem Zeitdruck Dinge kaufen, um sie gleich wieder zu verkaufen. Doch das ist Geschichte. Die Realität an der Börse sieht anders aus - das Parkett hat längst neue Regeln. Michael Lewis, Wirtschaftsjournalist und begnadeter Sachbuchautor, sorgte mit seinem neuen Buch für ein Erdbeben. Der Erzähler unter den Sachbuchautoren enthüllt die Geschichte einer Gruppe genialer Wall-Street-Außenseiter. Sie haben herausgefunden, wie die Börse zum Vorteil von Insidern manipuliert wird, die ohne Risiko Milliarden absahnen und abends ohne eine einzige Aktie nach Hause gehen. Ein Buch über die neuen "Helden" an der Börse Der Entschluss der "Helden": Sie schaffen ein paralleles System, das sich den raffgierigen "Flash Boys" in den Weg stellt. Lewis bringt Licht in die dunkelste Ecke der Börse. Seine filmreife Geschichte über den Kampf um Geschwindigkeit - auf einem Markt, den zwar keiner sieht, der unsere Wirtschaft aber ernsthaft bedroht - bringt die Wall Street zum Beben. Dieses Buch lässt die Börsenwelt erzittern. Einen Tag nach seinem Erscheinen kündigten FBI und amerikanisches Justizministerium an, sie würden Untersuchungen gegen den von Lewis gegeißelten Hochfrequenzhandel an den Börsen einleiten. Lewis ... - "... hat eine neue Ebene der Aufmerksamkeit erreicht". (FAZ) - ... lässt den "The Wolf of Wall Street" wie ein Lamm wirken. - ... ist der derzeit packendste (Reality-)Thriller über die Finanzwelt gelungen. - ... enthüllt, wie Märkte und Privatanleger manipuliert werden. Links: http://www.faz.net/aktuell/feuilleton/buecher/rezensionen/sachbuch/rezension-flash-boys-von-michael-lewis-12899266.html http://www.handelsblatt.com/finanzen/fonds/nachrichten/hochfrequenzhandel-staatsfonds-fluechtet-vor-den-flash-boys/10019622.html http://www.manager-magazin.de/finanzen/boerse/hochfrequenzhandel-lewis-gefahr-jedermannn-flashcrash-a-973311.html

Angewandte Zeitreihenanalyse Mit R

Angewandte Zeitreihenanalyse mit R PDF
Author: Rainer Schlittgen
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110423774
Size: 66.45 MB
Format: PDF, ePub
Category : Business & Economics
Languages : de
Pages : 329
View: 6128

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Dieses Buch präsentiert die wichtigsten Modelle und Verfahren der Zeitreihenanalyse in einer für Studierende und Anwender leicht zugänglichen Form. Der Schwerpunkt liegt auf dem Zeitbereich; speziell werden explorative Methoden, ARMA-Modelle mit ihren Erweiterungen, Prognosemethoden und Zeitreihenregressionen behandelt. Auch der Frequenzbereich wird vorgestellt. Weiter werden multivariate Zeitreihen, Zustandsraummodelle und Modelle für Heteroskedastizität behandelt. Die Methoden werden überwiegend anhand einfacher Situationen verdeutlicht und mittels zahlreicher realer Beispiele illustriert. Die Beispiele stammen aus den Bereichen Wirtschaftswissenschaften, Biologie, Geologie, Medizin und Meteorologie. Die umfassende Erfahrung des Autors auf dem Gebiet der Zeitreihenanalyse fließt an vielen Stellen in Form von Anwendungstipps ein. Dieser Text zur Zeitreihenanalyse ist der erste im deutschsprachigen Bereich, der auf der freien statistischen Programmierumgebung R basiert. In einem eigenen Kapitel wird eine kurze Einführung gegeben. Bei den Beispielen wird der zugehörige Code jeweils angegeben und kommentiert. Zudem enthält jedes Kapitel eine Übersicht über die entsprechenden R-Funktionen der verschiedenen R-Pakete. Die Neuauflage wurde akualisiert und unter anderem um ein Kapitel zu der Long-Memory-Prozessen erweitert.

Das B Rsenhackerbuch

Das B  rsenhackerbuch PDF
Author: Johann Christian Lotter
Publisher: Createspace Independent Publishing Platform
ISBN: 9781530310784
Size: 54.10 MB
Format: PDF, Docs
Category :
Languages : de
Pages : 198
View: 975

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Der Traum jedes Börsenhändlers: Sein Computer generiert Profit, während er selbst mit einem kühlen Bier am Strand sitzt. Kann das tatsächlich funktionieren? Antwort: Es kommt darauf an. Dieses Buch vermittelt die Grundlagen für das erfolgreiche Entwerfen und Testen mechanischer Handelssysteme. Der Autor hat in den letzten Jahren mehr als Hundert solcher Systeme für Institute und private Trader entwickelt und kennt alle Tricks und Tücken. Er erklärt Ihnen ausführlich, wie man Handelssysteme zusammenbaut, wie man sie richtig testet, unter welchen Bedingungen sie funktionieren und wann sie versagen. Zur Anleitung dienen Beispielsysteme mit neuen, teilweise bisher unveröffentlichten Tradingmethoden. So können auch Sie die Börse hacken! Alle beschriebenen Systeme sind in der Begleitsoftware zum Buch enthalten und direkt einsetzbar.

Irrationaler Berschwang

Irrationaler   berschwang PDF
Author: Robert J. Shiller
Publisher: Plassen Verlag
ISBN: 386470264X
Size: 42.13 MB
Format: PDF, ePub, Mobi
Category : Political Science
Languages : de
Pages : 432
View: 7126

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Er hat die Technologieblase vorhergesagt und vor der Immobilienblase warnte er ebenfalls frühzeitig. Nun analysiert Wirtschafts-Nobelpreisträger Robert Shiller die aktuelle Situation an den Finanzmärkten – und warnt erneut. Mit seiner Theorie des "Irrationalen Überschwangs" zeigt Nobelpreisträger Robert Shiller, dass Euphorie seitens der Akteure die Märkte auf unhaltbare und gefährliche Niveaus treiben kann. So geschehen in den Jahren 2000 bei der Hightechblase und 2007/2008 bei der Subprimeblase, die Shiller präzise vorhergesagt hat. Dies ist die dritte, aktualisierte und erweiterte Auflage seines Klassikers. Shiller bezieht hier erstmals auch den Anleihenmarkt ein und gibt Empfehlungen, was die Individuen und die Politik im Lichte der aktuellen Situation an den Finanzmärkten tun sollten.