Quantitative Trading with R

Understanding Mathematical and Computational Tools from a Quant’s Perspective

Author: Harry Georgakopoulos

Publisher: Springer

ISBN: 1137437472

Category: Business & Economics

Page: 272

View: 9382

Quantitative Finance with R offers a winning strategy for devising expertly-crafted and workable trading models using the R open source programming language, providing readers with a step-by-step approach to understanding complex quantitative finance problems and building functional computer code.

Introduction to R for Quantitative Finance

Author: Gergely Daróczi,Michael Puhle,Edina Berlinger,Péter Csóka,Daniel Havran,Márton Michaletzky,Zsolt Tulassay,Kata Váradi,Agnes Vidovics-Dancs

Publisher: Packt Publishing Ltd

ISBN: 1783280948

Category: Computers

Page: 164

View: 7035

This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance.If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is assumed, but familiarity with R is not required. With a focus on using R to solve a wide range of issues, this book provides useful content for both the R beginner and more experience users.

Automated Trading with R

Quantitative Research and Platform Development

Author: Chris Conlan

Publisher: Apress

ISBN: 1484221788

Category: Computers

Page: 205

View: 8766

Learn to trade algorithmically with your existing brokerage, from data management, to strategy optimization, to order execution, using free and publicly available data. Connect to your brokerage’s API, and the source code is plug-and-play. Automated Trading with R explains automated trading, starting with its mathematics and moving to its computation and execution. You will gain a unique insight into the mechanics and computational considerations taken in building a back-tester, strategy optimizer, and fully functional trading platform. The platform built in this book can serve as a complete replacement for commercially available platforms used by retail traders and small funds. Software components are strictly decoupled and easily scalable, providing opportunity to substitute any data source, trading algorithm, or brokerage. This book will: Provide a flexible alternative to common strategy automation frameworks, like Tradestation, Metatrader, and CQG, to small funds and retail traders Offer an understanding of the internal mechanisms of an automated trading system Standardize discussion and notation of real-world strategy optimization problems What You Will Learn Understand machine-learning criteria for statistical validity in the context of time-series Optimize strategies, generate real-time trading decisions, and minimize computation time while programming an automated strategy in R and using its package library Best simulate strategy performance in its specific use case to derive accurate performance estimates Understand critical real-world variables pertaining to portfolio management and performance assessment, including latency, drawdowns, varying trade size, portfolio growth, and penalization of unused capital Who This Book Is For Traders/practitioners at the retail or small fund level with at least an undergraduate background in finance or computer science; graduate level finance or data science students

How I Became a Quant

Insights from 25 of Wall Street's Elite

Author: Richard R. Lindsey,Barry Schachter

Publisher: John Wiley & Sons

ISBN: 9781118044759

Category: Business & Economics

Page: 386

View: 2510

Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.

Computational Finance

An Introductory Course with R

Author: Argimiro Arratia

Publisher: Springer Science & Business Media

ISBN: 9462390703

Category: Computers

Page: 301

View: 8758

The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.

Mastering R for Quantitative Finance

Author: Edina Berlinger,Ferenc Illés,Milán Badics,Ádám Banai,Gergely Daróczi,Barbara Dömötör,Gergely Gabler,Dániel Havran,Péter Juhász,István Margitai,Balázs Márkus,Péter Medvegyev,Julia Molnár,Balázs Árpád Szűcs,Ágnes Tuza,Tamás Vadász,Kata Váradi,Ágnes Vidovics-Dancs

Publisher: Packt Publishing Ltd

ISBN: 1783552085

Category: Computers

Page: 362

View: 2800

This book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.

An Introduction to Quantitative Finance

Author: Stephen Blyth

Publisher: Oxford University Press

ISBN: 0199666598

Category: Business & Economics

Page: 175

View: 4123

The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.

Financial Analytics with R

Author: Mark J. Bennett,Dirk L. Hugen

Publisher: Cambridge University Press

ISBN: 1107150752

Category: Business & Economics

Page: 390

View: 815

Financial Analytics with R sharpens readers' skills in time-series, forecasting, portfolio selection, covariance clustering, prediction, and derivative securities.

Learning Quantitative Finance with R

Author: Dr. Param Jeet,Prashant Vats

Publisher: Packt Publishing Ltd

ISBN: 1786465256

Category: Computers

Page: 284

View: 3558

Implement machine learning, time-series analysis, algorithmic trading and more About This Book Understand the basics of R and how they can be applied in various Quantitative Finance scenarios Learn various algorithmic trading techniques and ways to optimize them using the tools available in R. Contain different methods to manage risk and explore trading using Machine Learning. Who This Book Is For If you want to learn how to use R to build quantitative finance models with ease, this book is for you. Analysts who want to learn R to solve their quantitative finance problems will also find this book useful. Some understanding of the basic financial concepts will be useful, though prior knowledge of R is not required. What You Will Learn Get to know the basics of R and how to use it in the field of Quantitative Finance Understand data processing and model building using R Explore different types of analytical techniques such as statistical analysis, time-series analysis, predictive modeling, and econometric analysis Build and analyze quantitative finance models using real-world examples How real-life examples should be used to develop strategies Performance metrics to look into before deciding upon any model Deep dive into the vast world of machine-learning based trading Get to grips with algorithmic trading and different ways of optimizing it Learn about controlling risk parameters of financial instruments In Detail The role of a quantitative analyst is very challenging, yet lucrative, so there is a lot of competition for the role in top-tier organizations and investment banks. This book is your go-to resource if you want to equip yourself with the skills required to tackle any real-world problem in quantitative finance using the popular R programming language. You'll start by getting an understanding of the basics of R and its relevance in the field of quantitative finance. Once you've built this foundation, we'll dive into the practicalities of building financial models in R. This will help you have a fair understanding of the topics as well as their implementation, as the authors have presented some use cases along with examples that are easy to understand and correlate. We'll also look at risk management and optimization techniques for algorithmic trading. Finally, the book will explain some advanced concepts, such as trading using machine learning, optimizations, exotic options, and hedging. By the end of this book, you will have a firm grasp of the techniques required to implement basic quantitative finance models in R. Style and approach This book introduces you to the essentials of quantitative finance with the help of easy-to-understand, practical examples and use cases in R. Each chapter presents a specific financial concept in detail, backed with relevant theory and the implementation of a real-life example.

Python for Finance

Analyze Big Financial Data

Author: Yves Hilpisch

Publisher: "O'Reilly Media, Inc."

ISBN: 1491945389

Category: Computers

Page: 606

View: 5824

The financial industry has adopted Python at a tremendous rate recently, with some of the largest investment banks and hedge funds using it to build core trading and risk management systems. This hands-on guide helps both developers and quantitative analysts get started with Python, and guides you through the most important aspects of using Python for quantitative finance. Using practical examples through the book, author Yves Hilpisch also shows you how to develop a full-fledged framework for Monte Carlo simulation-based derivatives and risk analytics, based on a large, realistic case study. Much of the book uses interactive IPython Notebooks, with topics that include: Fundamentals: Python data structures, NumPy array handling, time series analysis with pandas, visualization with matplotlib, high performance I/O operations with PyTables, date/time information handling, and selected best practices Financial topics: mathematical techniques with NumPy, SciPy and SymPy such as regression and optimization; stochastics for Monte Carlo simulation, Value-at-Risk, and Credit-Value-at-Risk calculations; statistics for normality tests, mean-variance portfolio optimization, principal component analysis (PCA), and Bayesian regression Special topics: performance Python for financial algorithms, such as vectorization and parallelization, integrating Python with Excel, and building financial applications based on Web technologies

Finding Alphas

A Quantitative Approach to Building Trading Strategies

Author: Igor Tulchinsky

Publisher: John Wiley & Sons

ISBN: 1119057892

Category: Business & Economics

Page: 272

View: 1127

Design more successful trading systems with this practical guide to identifying alphas Finding Alphas seeks to teach you how to do one thing and do it well: design alphas. Written by experienced practitioners from WorldQuant, including its founder and CEO Igor Tulchinsky, this book provides detailed insight into the alchemic art of generating trading signals, and gives you access to the tools you need to practice and explore. Equally applicable across regions, this practical guide provides you with methods for uncovering the hidden signals in your data. A collection of essays provides diverse viewpoints to show the similarities, as well as unique approaches, to alpha design, covering a wide variety of topics, ranging from abstract theory to concrete technical aspects. You'll learn the dos and don'ts of information research, fundamental analysis, statistical arbitrage, alpha diversity, and more, and then delve into more advanced areas and more complex designs. The companion website, www.worldquantchallenge.com, features alpha examples with formulas and explanations. Further, this book also provides practical guidance for using WorldQuant's online simulation tool WebSim® to get hands-on practice in alpha design. Alpha is an algorithm which trades financial securities. This book shows you the ins and outs of alpha design, with key insight from experienced practitioners. Learn the seven habits of highly effective quants Understand the key technical aspects of alpha design Use WebSim® to experiment and create more successful alphas Finding Alphas is the detailed, informative guide you need to start designing robust, successful alphas.

Advances in Financial Machine Learning

Author: Marcos Lopez de Prado

Publisher: John Wiley & Sons

ISBN: 1119482119

Category: Business & Economics

Page: 400

View: 505

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations. Readers will learn how to structure Big data in a way that is amenable to ML algorithms; how to conduct research with ML algorithms on that data; how to use supercomputing methods; how to backtest your discoveries while avoiding false positives. The book addresses real-life problems faced by practitioners on a daily basis, and explains scientifically sound solutions using math, supported by code and examples. Readers become active users who can test the proposed solutions in their particular setting. Written by a recognized expert and portfolio manager, this book will equip investment professionals with the groundbreaking tools needed to succeed in modern finance.

Quantitative Trading

Algorithms, Analytics, Data, Models, Optimization

Author: Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong

Publisher: CRC Press

ISBN: 1315354357

Category: Business & Economics

Page: 379

View: 2984

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.

The Quants

How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It

Author: Scott Patterson

Publisher: Crown Business

ISBN: 9780307453396

Category: Business & Economics

Page: 352

View: 7996

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.

Statistical Arbitrage

Algorithmic Trading Insights and Techniques

Author: Andrew Pole

Publisher: John Wiley & Sons

ISBN: 1118160738

Category: Business & Economics

Page: 230

View: 414

While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.

Quantitative Equity Portfolio Management

Modern Techniques and Applications

Author: Edward E. Qian,Ronald H. Hua,Eric H. Sorensen

Publisher: CRC Press

ISBN: 1420010794

Category: Mathematics

Page: 464

View: 4450

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.

An Introduction to Statistical Learning

with Applications in R

Author: Gareth James,Daniela Witten,Trevor Hastie,Robert Tibshirani

Publisher: Springer Science & Business Media

ISBN: 1461471389

Category: Mathematics

Page: 426

View: 7999

An Introduction to Statistical Learning provides an accessible overview of the field of statistical learning, an essential toolset for making sense of the vast and complex data sets that have emerged in fields ranging from biology to finance to marketing to astrophysics in the past twenty years. This book presents some of the most important modeling and prediction techniques, along with relevant applications. Topics include linear regression, classification, resampling methods, shrinkage approaches, tree-based methods, support vector machines, clustering, and more. Color graphics and real-world examples are used to illustrate the methods presented. Since the goal of this textbook is to facilitate the use of these statistical learning techniques by practitioners in science, industry, and other fields, each chapter contains a tutorial on implementing the analyses and methods presented in R, an extremely popular open source statistical software platform. Two of the authors co-wrote The Elements of Statistical Learning (Hastie, Tibshirani and Friedman, 2nd edition 2009), a popular reference book for statistics and machine learning researchers. An Introduction to Statistical Learning covers many of the same topics, but at a level accessible to a much broader audience. This book is targeted at statisticians and non-statisticians alike who wish to use cutting-edge statistical learning techniques to analyze their data. The text assumes only a previous course in linear regression and no knowledge of matrix algebra.

Inside the Black Box

A Simple Guide to Quantitative and High Frequency Trading

Author: Rishi K. Narang

Publisher: John Wiley & Sons

ISBN: 1118416996

Category: Business & Economics

Page: 336

View: 2530

New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style—supplemented by real-world examples and informative anecdotes—a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading. Offers an update on the bestselling book for explaining in non-mathematical terms what quant and algo trading are and how they work Provides key information for investors to evaluate the best hedge fund investments Explains how quant strategies fit into a portfolio, why they are valuable, and how to evaluate a quant manager This new edition of Inside the Black Box explains quant investing without the jargon and goes a long way toward educating investment professionals.

Quantitative Finance

A Simulation-Based Introduction Using Excel

Author: Matt Davison

Publisher: CRC Press

ISBN: 1498782663

Category: Business & Economics

Page: 532

View: 938

Teach Your Students How to Become Successful Working Quants Quantitative Finance: A Simulation-Based Introduction Using Excel provides an introduction to financial mathematics for students in applied mathematics, financial engineering, actuarial science, and business administration. The text not only enables students to practice with the basic techniques of financial mathematics, but it also helps them gain significant intuition about what the techniques mean, how they work, and what happens when they stop working. After introducing risk, return, decision making under uncertainty, and traditional discounted cash flow project analysis, the book covers mortgages, bonds, and annuities using a blend of Excel simulation and difference equation or algebraic formalism. It then looks at how interest rate markets work and how to model bond prices before addressing mean variance portfolio optimization, the capital asset pricing model, options, and value at risk (VaR). The author next focuses on binomial model tools for pricing options and the analysis of discrete random walks. He also introduces stochastic calculus in a nonrigorous way and explains how to simulate geometric Brownian motion. The text proceeds to thoroughly discuss options pricing, mostly in continuous time. It concludes with chapters on stochastic models of the yield curve and incomplete markets using simple discrete models. Accessible to students with a relatively modest level of mathematical background, this book will guide your students in becoming successful quants. It uses both hand calculations and Excel spreadsheets to analyze plenty of examples from simple bond portfolios. The spreadsheets are available on the book’s CRC Press web page.

Quantitative Trading

How to Build Your Own Algorithmic Trading Business

Author: Ernest P. Chan

Publisher: N.A

ISBN: 9781119203377

Category: Investment analysis

Page: 181

View: 8388

"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.