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Learning Quantitative Finance with R

You're reading from Learning Quantitative Finance with R Implement machine learning, time-series analysis, algorithmic trading and more

Product type Paperback

Published in Mar 2017

Publisher Packt

ISBN-13 9781786462411

Length 284 pages

Edition 1st Edition

Languages

R

Concepts

Financial Technology

Authors (2):

PRASHANT VATS

Dr. Param Jeet

View More author details

Table of Contents (10) Chapters

Preface

1. Introduction to R

2. Statistical Modeling FREE CHAPTER

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

Momentum or directional trading

Momentum trading is trading when the instrument is trending up or down or, in other words, continuation in the trend as like historical winners are expected to be winners and historical losers are expected to lose. You bet on the direction of the instrument and you aim for buying at a low price and selling at a high price. I will not cover the pros and cons and what the different types of momentum trading strategies are. It is left to the trader to devise any idea. I will cover how to implement momentum trading rules and backtest using historical data in R. Stock return depends on various factors, and later in this chapter, I will show you how to use the multifactor model which explains stock return.

Let me start with simple technical indicators.

Technical indicators are implemented in the quantmod package so I will be using quantmod for this:

> library('quantmod') 
>getSymbols("^DJI",src="yahoo") 
[1] "DJI" 
&gt...

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Authors (2)

Jeet

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 Jeet

PRASHANT VATS

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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