Packt+ | Advance your knowledge in tech

All Products

Best Sellers

New Releases

Books

Videos

Audiobooks

Free Learning

Mastering R for Quantitative Finance

You're reading from Mastering R for Quantitative Finance

Product type Book

Published in Mar 2015

Publisher

ISBN-13 9781783552078

Pages 362 pages

Edition 1st Edition

Languages

Concepts

Table of Contents (20) Chapters

Mastering R for Quantitative Finance

Credits

About the Authors

About the Reviewers

www.PacktPub.com

Preface

1. Time Series Analysis

2. Factor Models

3. Forecasting Volume

4. Big Data – Advanced Analytics

5. FX Derivatives

6. Interest Rate Derivatives and Models

7. Exotic Options

8. Optimal Hedging

9. Fundamental Analysis

10. Technical Analysis, Neural Networks, and Logoptimal Portfolios

11. Asset and Liability Management

12. Capital Adequacy

13. Systemic Risks

Index

Market efficiency

Markets are efficient to the extent that all information is built into the current prices. The weak form of market efficiency requires that the latest price already incorporates all the information which can be obtained from the chart of past prices and trading volumes. Clearly, if markets were efficient at least in this weak sense, returns would be totally independent over time and strategies based on technical analysis, neural networks and the logoptimal portfolio theory would be completely worthless, see Hull (2009), Model of the behavior of stock prices.

However, the efficiency of a given market is purely an empirical question. You can never be sure that asset returns in the real world are really completely independent in time. Therefore, you should not take market efficiency as a fact but you are encouraged to test it on your own by inventing and implementing new technically inspired strategies. If your strategy calibrated on past trading data proves to be robust enough...

The rest of the chapter is locked

Register for a free Packt account to unlock a world of extra content!

A free Packt account unlocks extra newsletters, articles, discounted offers, and much more. Start advancing your knowledge today.

Unlock this book and the full library FREE for 7 days

Get unlimited access to 7000+ expert-authored eBooks and videos courses covering every tech area you can think of

Start free trial

Renews at $15.99/month. Cancel anytime}

Personalised recommendations for you

Based on your interests and search pattern

Ever wonder why speech recognition systems don't understand the Scottish accent, or what would happen if an astronaut only ate mac 'n' cheese, or other spurious reflections you'd have at a bar? We did, then collated those deliberations into absurd research articles with fake figures and methodologies inspired by even more fictionally absurd studies.

Aug 2023 7 hours 40 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Generative AI with LangChain

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Dec 2023 12 hours 0 minutes

Mastering Tableau 2023

Mastering Tableau 2023

This book is a comprehensive resource to mastering your Tableau skills and becoming a BI expert. As you progress, you will learn how to build advanced dashboards and improve your storytelling to derive key business insight, as well as make you well-versed with advanced functionalities of Tableau in the business intelligence domain.

Aug 2023 22 hours 48 minutes

Building AI Applications with ChatGPT APIs

Building AI Applications with ChatGPT APIs

This guide covers all ChatGPT API features for effortless creation of robust AI powered apps. With its help, you’ll be able to leverage ChatGPT’s cutting-edge NLP models to take your app development skills to the next level. You’ll also work on ten exciting projects that will give you the practical know-how that you can apply to your existing applications.

Sep 2023 8 hours 36 minutes

Building AI Applications with ChatGPT APIs

Building AI Applications with ChatGPT APIs

This guide covers all ChatGPT API features for effortless creation of robust AI powered apps. With its help, you’ll be able to leverage ChatGPT’s cutting-edge NLP models to take your app development skills to the next level. You’ll also work on ten exciting projects that will give you the practical know-how that you can apply to your existing applications.

Sep 2023 8 hours 36 minutes

Data Engineering with AWS

Data Engineering with AWS

Embark on a journey to master data engineering pipelines on AWS! Our book offers a hands-on experience of AWS services for ingesting, transforming, and consuming data. Whether you're an absolute beginner or someone with basic data engineering experience, this guide is an indispensable resource.

Oct 2023 21 hours 12 minutes

Modern Data Architecture on AWS

Modern Data Architecture on AWS

Every organization wants an agile, performant, and cost-effective data platform that meets all their current and future business needs. Purpose-built AWS analytics services and their features play a big part in building such a modern data platform. This book brings to you all the design and architectural patterns that’ll help you achieve this goal.

Aug 2023 14 hours 0 minutes

Practical Guide to Applied Conformal Prediction in Python

Practical Guide to Applied Conformal Prediction in Python

Discover the power of Conformal Prediction with the "Practical Guide to Applied Conformal Prediction in Python." Master the latest techniques to quantify uncertainty in machine learning and computer vision models, and seamlessly apply them to your industry applications.

Dec 2023 8 hours 0 minutes

TinyML Cookbook

TinyML Cookbook

With over 70 project-based recipes, the TinyML Cookbook is a practical guide that will help you to get the most out of your microcontrollers. It provides a comprehensive understanding of the theoretical foundations while giving you hands-on experience training ML models for deployment on Arduino Nano 33 BLE Sense, Raspberry Pi Pico, and SparkFun RedBoard Artemis Nano microcontrollers.

Nov 2023 22 hours 8 minutes