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Learning Quantitative Finance with R

You're reading from Learning Quantitative Finance with R

Product type Book

Published in Mar 2017

Publisher Packt

ISBN-13 9781786462411

Pages 284 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Authors (2):

Dr. Param Jeet

PRASHANT VATS

View More author details

Table of Contents (16) Chapters

Learning Quantitative Finance with R

Credits

About the Authors

About the Reviewer

www.PacktPub.com

Customer Feedback

Preface

1. Introduction to R

2. Statistical Modeling

3. Econometric and Wavelet Analysis

4. Time Series Modeling

5. Algorithmic Trading

6. Trading Using Machine Learning

7. Risk Management

8. Optimization

9. Derivative Pricing

Chapter 3. Econometric and Wavelet Analysis

In financial analytics, we need techniques to do predictive modeling for forecasting and finding the drivers for different target variables. In this chapter, we will discuss types of regression and how we can build a regression model in R for building predictive models. Also we will discuss, how we can implement a variable selection method and other aspects associated with regression. This chapter will not contain theoretical description but will just guide you in how to implement a regression model in R in the financial space. Regression analysis can be used for doing forecast on cross-sectional data in the financial domain. We will also cover frequency analysis of the data, and how transformations such as Fast Fourier, wavelet, Hilbert, haar transformations in time, and frequency domains help to remove noise in the data.

This chapter covers the following topics:

Simple linear regression
Multivariate linear regression
Multicollinearity
ANOVA
Feature...

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Authors (2)

Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.

See other products by Dr. Param Jeet

PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.

See other products by PRASHANT VATS

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