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Quantitative Analysis, Derivatives Modeling, and Trading Strategies

Author : Yi Tang

Publisher : World Scientific

Page : 523 pages

File Size : 18,28 MB

Release : 2007

Category : Business & Economics

ISBN : 9812706658

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Book Description

This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authorsOCO own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the point of view of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader develop intuitions. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies, which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, credit extinguishers."



Applied Quantitative Methods for Trading and Investment

Author : Christian L. Dunis

Publisher : John Wiley & Sons

Page : 426 pages

File Size : 11,30 MB

Release : 2004-01-09

Category : Business & Economics

ISBN : 0470871342

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Book Description

This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio



Quantitative Trading

Author : Bellamy Atlas

Publisher :

Page : 0 pages

File Size : 10,58 MB

Release : 2023-08-14

Category : Business & Economics

ISBN : 9781806216611

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Book Description

Unlocking the World of Quantitative Trading: A Comprehensive Guide Order your copy today and unlock the door to a world of trading opportunities!



Quantitative Trading

Author : Xin Guo

Publisher : CRC Press

Page : 357 pages

File Size : 33,59 MB

Release : 2017-01-06

Category : Business & Economics

ISBN : 1498706495

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Book Description

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.



Quantitative Trading

Author : Jonathan Rojas

Publisher : Independently Published

Page : 0 pages

File Size : 27,14 MB

Release : 2024-03-10

Category : Business & Economics

ISBN :

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Book Description

In "Quantitative Trading: Harnessing Data and Algorithms for Systematic Profits," Jonathan Rojas delivers a comprehensive guide to navigating the intricate world of quantitative trading. Dive into the fusion of data science and finance as you explore cutting-edge techniques designed to maximize profits in today's dynamic markets. This book serves as a roadmap for both aspiring and seasoned traders seeking to harness the power of data-driven strategies and advanced algorithms. Rojas takes readers on a journey through the fundamental principles, advanced methodologies, and real-world applications of quantitative trading, offering actionable insights and practical advice every step of the way. Readers will learn how to leverage vast datasets, employ sophisticated statistical techniques, and develop robust quantitative models to identify profitable trading opportunities with precision and efficiency. From understanding market microstructure to implementing machine learning algorithms, Rojas provides a comprehensive framework for building systematic trading strategies that deliver consistent profits. Key topics covered include: The role of data in trading and the types of market data essential for quantitative analysis. Statistical techniques such as time series analysis, correlation analysis, and regression analysis for deriving actionable insights from market data. Design principles for building quantitative trading models, including various types of strategies and model validation techniques. Market microstructure and its impact on trading strategies, including order types, execution strategies, and market impact analysis. The application of machine learning algorithms, including supervised, unsupervised, and reinforcement learning techniques, in quantitative trading. High-frequency trading (HFT) strategies, algorithms, challenges, and regulatory considerations. The importance of risk management, risk metrics, portfolio optimization, and diversification techniques in quantitative trading. Algorithmic trading infrastructure requirements, including hardware, software, data storage, processing solutions, and execution platforms. Future trends in quantitative trading, emerging technologies, regulatory trends, and predictions for the future of the industry. With clear explanations, practical examples, and actionable insights, "Quantitative Trading" equips readers with the knowledge and tools needed to thrive in today's competitive trading landscape. Whether you're a novice trader looking to break into the world of quantitative finance or an experienced professional seeking to refine your trading strategies, this book is an indispensable resource for unlocking the potential of data-driven trading and achieving systematic profits in the markets. Embark on your journey to quantitative trading success with Jonathan Rojas as your guide. Let "Quantitative Trading: Harnessing Data and Algorithms for Systematic Profits" be your roadmap to mastering the art and science of quantitative trading.



Algorithmic Trading and Quantitative Strategies

Author : Raja Velu

Publisher : CRC Press

Page : 378 pages

File Size : 23,1 MB

Release : 2020-08-12

Category : Business & Economics

ISBN : 1498737218

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Book Description

Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner’s hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals. The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion on the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings. A git-hub repository includes data-sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem.



The Quants

Author : Scott Patterson

Publisher : Currency

Page : 354 pages

File Size : 27,71 MB

Release : 2011-01-25

Category : Business & Economics

ISBN : 0307453383

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Book Description

With the immediacy of today’s NASDAQ close and the timeless power of a Greek tragedy, The Quants is at once a masterpiece of explanatory journalism, a gripping tale of ambition and hubris, and an ominous warning about Wall Street’s future. In March of 2006, four of the world’s richest men sipped champagne in an opulent New York hotel. They were preparing to compete in a poker tournament with million-dollar stakes, but those numbers meant nothing to them. They were accustomed to risking billions. On that night, these four men and their cohorts were the new kings of Wall Street. Muller, Griffin, Asness, and Weinstein were among the best and brightest of a new breed, the quants. Over the prior twenty years, this species of math whiz--technocrats who make billions not with gut calls or fundamental analysis but with formulas and high-speed computers--had usurped the testosterone-fueled, kill-or-be-killed risk-takers who’d long been the alpha males the world’s largest casino. The quants helped create a digitized money-trading machine that could shift billions around the globe with the click of a mouse. Few realized, though, that in creating this unprecedented machine, men like Muller, Griffin, Asness and Weinstein had sowed the seeds for history’s greatest financial disaster. Drawing on unprecedented access to these four number-crunching titans, The Quants tells the inside story of what they thought and felt in the days and weeks when they helplessly watched much of their net worth vaporize--and wondered just how their mind-bending formulas and genius-level IQ’s had led them so wrong, so fast.



Quantitative Trading

Author : Ernest P. Chan

Publisher : John Wiley & Sons

Page : 259 pages

File Size : 24,65 MB

Release : 2021-06-21

Category : Business & Economics

ISBN : 1119800072

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Book Description

Master the lucrative discipline of quantitative trading with this insightful handbook from a master in the field In the newly revised Second Edition of Quantitative Trading: How to Build Your Own Algorithmic Trading Business, quant trading expert Dr. Ernest P. Chan shows you how to apply both time-tested and novel quantitative trading strategies to develop or improve your own trading firm. You'll discover new case studies and updated information on the application of cutting-edge machine learning investment techniques, as well as: Updated back tests on a variety of trading strategies, with included Python and R code examples A new technique on optimizing parameters with changing market regimes using machine learning. A guide to selecting the best traders and advisors to manage your money Perfect for independent retail traders seeking to start their own quantitative trading business, or investors looking to invest in such traders, this new edition of Quantitative Trading will also earn a place in the libraries of individual investors interested in exploring a career at a major financial institution.



The Mathematics of Financial Models

Author : Kannoo Ravindran

Publisher : John Wiley & Sons

Page : 344 pages

File Size : 34,9 MB

Release : 2014-08-18

Category : Business & Economics

ISBN : 1118235525

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Book Description

Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculus, statistics and numerical analysis that are used to build the quantitative methods used. Financial analysts, investment professionals, risk-management professionals, and graduate students will find applicable information throughout the book, and gain from the self-study exercises and the refresher course on key mathematical topics. Equipped with tips and information, The Mathematics of Financial Models Provides practical methodologies based on mathematical quantitative analysis to help analysts, investment and risk-management professionals better navigate client issues Contains interactive tools that demonstrate the power of analysis and modeling Helps financial professionals become more familiar with the challenges across a range of industries Includes a mathematics refresher course and plenty of exercises to get readers up to speed The Mathematics of Financial Models is an in-depth guide that helps readers break through common client financial problems and emerge with clearer strategies for solving issues in the future.



Modeling Derivatives in C++

Author : Justin London

Publisher : John Wiley & Sons

Page : 922 pages

File Size : 10,53 MB

Release : 2005-01-21

Category : Business & Economics

ISBN : 047168189X

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Book Description

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.