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Optimal Mean Reversion Trading

Author : Tim Leung (Professor of industrial engineering)

Publisher : World Scientific

Page : 221 pages

File Size : 38,73 MB

Release : 2015-11-26

Category : Business & Economics

ISBN : 9814725927

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Book Description

"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--



Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications

Author : Tim Siu-tang Leung

Publisher : World Scientific

Page : 221 pages

File Size : 25,16 MB

Release : 2015-11-26

Category : Business & Economics

ISBN : 9814725935

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Book Description

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives.This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.



Financial Markets and Trading

Author : Anatoly B. Schmidt

Publisher : John Wiley & Sons

Page : 195 pages

File Size : 42,10 MB

Release : 2011-07-05

Category : Business & Economics

ISBN : 1118093658

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Book Description

An informative guide to market microstructure and trading strategies Over the last decade, the financial landscape has undergone a significant transformation, shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book. Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies. Details the modern financial markets for equities, foreign exchange, and fixed income Addresses the basics of market dynamics, including statistical distributions and volatility of returns Offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies Includes two appendices that support the main material in the book If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.



The Expression of Information Structure

Author : Manfred Krifka

Publisher : Walter de Gruyter

Page : 476 pages

File Size : 42,34 MB

Release : 2012-08-31

Category : Language Arts & Disciplines

ISBN : 311026160X

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Book Description

Information structure deals with the linguistic forms and techniques that support the integration of what is said into the current informational and attentional state of the addressee. This shows in categories like topic-comment structuring, focus to highlight expressions, marking of givenness and of presupposed information, and ways to indicate that the information provided is restricted. The book relates infor-mation structure to theoretical models of grammar, to computation and modelling and brings together what is known about the expression of information structure in human language with regard to its empirical investigation, its psycholinguistic aspects and the acquisition of information structure. Since the need to integrate what is said into the informational and attentional state of the addressee is central to all human communication, it is not surprising that all natural languages have developed devices to express information structural cate-gories. To illustrate this, the book also provides concrete and theory independent descriptions of the information structural encoding strategies of individual languages of different types . The book can be used as a textbook appropriate for advanced undergraduate and graduate courses; it also provides information for linguists that are not specialists in the field.



The Birth of Digital Human Rights

Author : Rebekah Dowd

Publisher : Springer Nature

Page : 284 pages

File Size : 26,55 MB

Release : 2021-11-17

Category : Political Science

ISBN : 3030829693

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Book Description

This book considers contested responsibilities between the public and private sectors over the use of online data, detailing exactly how digital human rights evolved in specific European states and gradually became a part of the European Union framework of legal protections. The author uniquely examines why and how European lawmakers linked digital data protection to fundamental human rights, something heretofore not explained in other works on general data governance and data privacy. In particular, this work examines the utilization of national and European Union institutional arrangements as a location for activism by legal and academic consultants and by first-mover states who legislated digital human rights beginning in the 1970s. By tracing the way that EU Member States and non-state actors utilized the structure of EU bodies to create the new norm of digital human rights, readers will learn about the process of expanding the scope of human rights protections within multiple dimensions of European political space. The project will be informative to scholar, student, and layperson, as it examines a new and evolving area of technology governance – the human rights of digital data use by the public and private sectors.



Working with Dynamic Crop Models

Author : Daniel Wallach

Publisher : Academic Press

Page : 504 pages

File Size : 43,19 MB

Release : 2013-11-25

Category : Business & Economics

ISBN : 0444594469

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Book Description

This second edition of Working with Dynamic Crop Models is meant for self-learning by researchers or for use in graduate level courses devoted to methods for working with dynamic models in crop, agricultural, and related sciences. Each chapter focuses on a particular topic and includes an introduction, a detailed explanation of the available methods, applications of the methods to one or two simple models that are followed throughout the book, real-life examples of the methods from literature, and finally a section detailing implementation of the methods using the R programming language. The consistent use of R makes this book immediately and directly applicable to scientists seeking to develop models quickly and effectively, and the selected examples ensure broad appeal to scientists in various disciplines. - 50% new content – 100% reviewed and updated - Clearly explains practical application of the methods presented, including R language examples - Presents real-life examples of core crop modeling methods, and ones that are translatable to dynamic system models in other fields



Noise Reduction in Speech Processing

Author : Jacob Benesty

Publisher : Springer Science & Business Media

Page : 236 pages

File Size : 43,59 MB

Release : 2009-04-28

Category : Technology & Engineering

ISBN : 364200296X

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Book Description

Noise is everywhere and in most applications that are related to audio and speech, such as human-machine interfaces, hands-free communications, voice over IP (VoIP), hearing aids, teleconferencing/telepresence/telecollaboration systems, and so many others, the signal of interest (usually speech) that is picked up by a microphone is generally contaminated by noise. As a result, the microphone signal has to be cleaned up with digital signal processing tools before it is stored, analyzed, transmitted, or played out. This cleaning process is often called noise reduction and this topic has attracted a considerable amount of research and engineering attention for several decades. One of the objectives of this book is to present in a common framework an overview of the state of the art of noise reduction algorithms in the single-channel (one microphone) case. The focus is on the most useful approaches, i.e., filtering techniques (in different domains) and spectral enhancement methods. The other objective of Noise Reduction in Speech Processing is to derive all these well-known techniques in a rigorous way and prove many fundamental and intuitive results often taken for granted. This book is especially written for graduate students and research engineers who work on noise reduction for speech and audio applications and want to understand the subtle mechanisms behind each approach. Many new and interesting concepts are presented in this text that we hope the readers will find useful and inspiring.



Resilient and Responsible Smart Cities

Author : Norsidah Ujang

Publisher : Springer Nature

Page : 268 pages

File Size : 32,56 MB

Release : 2021-08-18

Category : Science

ISBN : 3030635678

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Book Description

This book focuses on the ways in which resiliency can foster the transformation of cities. There is a growing need for our cities to be transformed into “smart” cities; in this regard, tremendous efforts are called for in order to face the environmental challenges that play a major role in the creation or transformation of cities and environments. This book covers a broad range of applications and approaches that are “smart” and “resilient,” which, when combined, offer much more flexibility concerning the future of our cities. Consequently, this simple combination, which is producing sweeping changes around the globe, has attracted considerable attention from scholars and decision-makers alike.



Handbook of Research on Smart Power System Operation and Control

Author : Alhelou, Hassan Haes

Publisher : IGI Global

Page : 516 pages

File Size : 38,16 MB

Release : 2019-03-15

Category : Technology & Engineering

ISBN : 152258031X

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Book Description

Because society depends greatly on electric energy, power system control and protection focuses on ensuring a secure and reliable supply of power. To operate the electric systems in safe mode, the power system component should be equipped with intelligent controllers. The Handbook of Research on Smart Power System Operation and Control is a collection of innovative research on the theoretical and practical developments in smart power system operation and control that takes into account both smart grid and micro-grid systems. While highlighting topics including cybersecurity, smart grid, and wide area monitoring, this book is ideally designed for researchers, students, and industry professionals.



Internet of Things and Machine Learning in Agriculture

Author : Jyotir Moy Chatterjee

Publisher : Walter de Gruyter GmbH & Co KG

Page : 454 pages

File Size : 26,43 MB

Release : 2021-02-08

Category : Computers

ISBN : 3110691280

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Book Description

Agriculture is one of the most fundamental human activities. As the farming capacity has expanded, the usage of resources such as land, fertilizer, and water has grown exponentially, and environmental pressures from modern farming techniques have stressed natural landscapes. Still, by some estimates, worldwide food production needs to increase to keep up with global food demand. Machine Learning and the Internet of Things can play a promising role in the Agricultural industry, and help to increase food production while respecting the environment. This book explains how these technologies can be applied, offering many case studies developed in the research world.