Quantitative Analysis Derivatives Modeling And Trading Strategies

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Quantitative Analysis, Derivatives Modeling, and Trading Strategies

Yi Tang,Bin Li
Quantitative Analysis Derivatives Modeling and Trading Strategies Book PDF

Author : Yi Tang,Bin Li
Publisher : World Scientific
Page : 523 pages
File Size : 47,5 Mb
Release : 2007
Category : Business & Economics
ISBN : 9789812706652

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Quantitative Analysis, Derivatives Modeling, and Trading Strategies by Yi Tang,Bin Li Pdf

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."

The Quants

Scott Patterson
The Quants Book PDF

Author : Scott Patterson
Publisher : Currency
Page : 354 pages
File Size : 54,7 Mb
Release : 2011-01-25
Category : Business & Economics
ISBN : 9780307453389

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The Quants by Scott Patterson Pdf

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.

Algorithmic Trading and Quantitative Strategies

Raja Velu
Algorithmic Trading and Quantitative Strategies Book PDF

Author : Raja Velu
Publisher : CRC Press
Page : 378 pages
File Size : 53,8 Mb
Release : 2020-08-12
Category : Business & Economics
ISBN : 9781498737210

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Algorithmic Trading and Quantitative Strategies by Raja Velu Pdf

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.

Applied Quantitative Methods for Trading and Investment

Christian L. Dunis,Jason Laws,Patrick Naïm
Applied Quantitative Methods for Trading and Investment Book PDF

Author : Christian L. Dunis,Jason Laws,Patrick Naïm
Publisher : John Wiley & Sons
Page : 426 pages
File Size : 54,6 Mb
Release : 2004-01-09
Category : Business & Economics
ISBN : 9780470871348

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Applied Quantitative Methods for Trading and Investment by Christian L. Dunis,Jason Laws,Patrick Naïm Pdf

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

Bellamy Atlas
Quantitative Trading Book PDF

Author : Bellamy Atlas
Publisher : Unknown
Page : 0 pages
File Size : 54,7 Mb
Release : 2023-08-14
Category : Business & Economics
ISBN : 1806216612

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Quantitative Trading by Bellamy Atlas Pdf

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

Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong
Quantitative Trading Book PDF

Author : Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong
Publisher : CRC Press
Page : 313 pages
File Size : 48,7 Mb
Release : 2017-01-06
Category : Business & Economics
ISBN : 9781315354354

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Quantitative Trading by Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong Pdf

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

Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong
Quantitative Trading Book PDF

Author : Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong
Publisher : CRC Press
Page : 357 pages
File Size : 41,7 Mb
Release : 2017-01-06
Category : Business & Economics
ISBN : 9781498706490

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Quantitative Trading by Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong Pdf

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 Analysis in Financial Markets

Marco Avellaneda
Quantitative Analysis in Financial Markets Book PDF

Author : Marco Avellaneda
Publisher : World Scientific
Page : 372 pages
File Size : 49,6 Mb
Release : 1999
Category : Mathematics
ISBN : 9810246935

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Quantitative Analysis in Financial Markets by Marco Avellaneda Pdf

Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.

Pairs Trading

Ganapathy Vidyamurthy
Pairs Trading Book PDF

Author : Ganapathy Vidyamurthy
Publisher : John Wiley & Sons
Page : 295 pages
File Size : 54,7 Mb
Release : 2011-02-02
Category : Business & Economics
ISBN : 9781118045701

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Pairs Trading by Ganapathy Vidyamurthy Pdf

The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.

Advanced Trading Rules

Emmanual Acar,Stephen Satchell
Advanced Trading Rules Book PDF

Author : Emmanual Acar,Stephen Satchell
Publisher : Elsevier
Page : 449 pages
File Size : 47,6 Mb
Release : 2002-05-23
Category : Political Science
ISBN : 9780080493435

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Advanced Trading Rules by Emmanual Acar,Stephen Satchell Pdf

Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns

Optimal Mean Reversion Trading

Tim Leung (Professor of industrial engineering),X. I. N. LI
Optimal Mean Reversion Trading Book PDF

Author : Tim Leung (Professor of industrial engineering),X. I. N. LI
Publisher : World Scientific
Page : 221 pages
File Size : 52,7 Mb
Release : 2015-11-26
Category : Business & Economics
ISBN : 9789814725927

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Optimal Mean Reversion Trading by Tim Leung (Professor of industrial engineering),X. I. N. LI Pdf

"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."--

Quantitative Trading

Ernest P. Chan
Quantitative Trading Book PDF

Author : Ernest P. Chan
Publisher : Unknown
Page : 181 pages
File Size : 42,8 Mb
Release : 2009
Category : Investment analysis
ISBN : 1119203376

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Quantitative Trading by Ernest P. Chan Pdf

"While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed"--Resource description page.

Quantitative Finance For Dummies

Steve Bell
Quantitative Finance For Dummies Book PDF

Author : Steve Bell
Publisher : John Wiley & Sons
Page : 408 pages
File Size : 55,8 Mb
Release : 2016-06-07
Category : Business & Economics
ISBN : 9781118769430

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Quantitative Finance For Dummies by Steve Bell Pdf

An accessible, thorough introduction to quantitative finance Does the complex world of quantitative finance make you quiver?You're not alone! It's a tough subject for even high-levelfinancial gurus to grasp, but Quantitative Finance ForDummies offers plain-English guidance on making sense ofapplying mathematics to investing decisions. With this completeguide, you'll gain a solid understanding of futures, options andrisk, and get up-to-speed on the most popular equations, methods,formulas and models (such as the Black-Scholes model) that areapplied in quantitative finance. Also known as mathematical finance, quantitative finance is thefield of mathematics applied to financial markets. It's a highlytechnical discipline—but almost all investment companies andhedge funds use quantitative methods. This fun and friendly guidebreaks the subject of quantitative finance down to easilydigestible parts, making it approachable for personal investors andfinance students alike. With the help of Quantitative FinanceFor Dummies, you'll learn the mathematical skills necessary forsuccess with quantitative finance, the most up-to-date portfolioand risk management applications and everything you need to knowabout basic derivatives pricing. Covers the core models, formulas and methods used inquantitative finance Includes examples and brief exercises to help augment yourunderstanding of QF Provides an easy-to-follow introduction to the complex world ofquantitative finance Explains how QF methods are used to define the current marketvalue of a derivative security Whether you're an aspiring quant or a top-tier personalinvestor, Quantitative Finance For Dummies is your go-toguide for coming to grips with QF/risk management.

Volatility Trading

Euan Sinclair
Volatility Trading Book PDF

Author : Euan Sinclair
Publisher : John Wiley & Sons
Page : 228 pages
File Size : 46,8 Mb
Release : 2011-01-11
Category : Business & Economics
ISBN : 9781118045299

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Volatility Trading by Euan Sinclair Pdf

In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.

The Mathematics of Financial Models

Kannoo Ravindran
The Mathematics of Financial Models Book PDF

Author : Kannoo Ravindran
Publisher : John Wiley & Sons
Page : 352 pages
File Size : 55,7 Mb
Release : 2014-08-18
Category : Business & Economics
ISBN : 9781118235522

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The Mathematics of Financial Models by Kannoo Ravindran Pdf

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.