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Mastering R for Quantitative Finance

You're reading from   Mastering R for Quantitative Finance Use R to optimize your trading strategy and build up your own risk management system

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Product type Paperback
Published in Mar 2015
Publisher
ISBN-13 9781783552078
Length 362 pages
Edition 1st Edition
Languages
Tools
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Toc

Table of Contents (15) Chapters Close

Preface 1. Time Series Analysis 2. Factor Models FREE CHAPTER 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

References and reading list

  • Andersen, Torben G; Davis, Richard A.; Kreiß, Jens-Peters; Mikosh, Thomas (ed.) (2009). Handbook of Financial Time Series
  • Andersen, Torben G. and Benzoni, Luca (2011). Stochastic volatility. Book chapter in Complex Systems in Finance and Econometrics, Ed.: Meyers, Robert A., Springer
  • Brooks, Chris (2008). Introductory Econometrics for Finance, Cambridge University Press
  • Fry, Renee and Pagan, Adrian (2011). Sign Restrictions in Structural Vector Autoregressions: A Critical Review. Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-60, December.
  • Ghalanos, Alexios (2014) Introduction to the rugarch package http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
  • Hafner, Christian M. (2011). Garch modelling. Book chapter in Complex Systems in Finance and Econometrics, Ed.: Meyers, Robert A., Springer
  • Hamilton, James D. (1994). Time Series Analysis, Princetown, New Jersey
  • Lütkepohl, Helmut (2007). New Introduction to Multiple Time Series Analysis, Springer
  • Murray, Michael. P. (1994). A drunk and her dog: an illustration of cointegration and error correction. The American Statistician, 48(1), 37-39.
  • Martin, Vance; Hurn, Stan and Harris, David (2013). Econometric Modelling with Time Series. Specification, Estimation and Testing, Cambridge University Press
  • Pfaff, Bernard (2008). Analysis of Integrated and Cointegrated Time Series with R, Springer
  • Pfaff, Bernhard (2008). VAR, SVAR and SVEC Models: Implementation Within R Package vars. Journal of Statistical Software, 27(4)
  • Phillips, P. C., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica: Journal of the Econometric Society, 165-193.
  • Pole, Andrew (2007). Statistical Arbitrage. Wiley
  • Rachev, Svetlozar T., Hsu, John S.J., Bagasheva, Biliana S. and Fabozzi, Frank J. (2008). Bayesian Methods in Finance. John Wiley & Sons.
  • Sims, Christopher A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 1-48.
  • Tsay, Ruey S. (2010). Analysis of Financial Time Series, 3rd edition, Wiley
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