Mark J. Bennett, Dirk L. Hugen

Financial Analytics with R

Building a Laptop Laboratory for Data Science

• Gebundenes Buch

Produktbeschreibung

This book provides the intuition and basic vocabulary as steps towards the financial, statistical, and algorithmic knowledge needed to resolve current industry problems, while also presenting a systematic way of developing analytical programs for finance in the statistical language R. This book is a key training resource for students and professionals alike.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 392
• Erscheinungstermin: 16. November 2016
• Englisch
• Abmessung: 254mm x 177mm x 25mm
• Gewicht: 920g
• ISBN-13: 9781107150751
• ISBN-10: 1107150752
• Artikelnr.: 45154630

Autorenporträt

Mark J. Bennett is a senior data scientist with a major investment bank and a lecturer in the University of Chicago's Master's program in analytics. He has held software positions at Argonne National Laboratory, Unisys Corporation, AT&T Bell Laboratories, Northrop Grumman, and XR Trading Securities.

Inhaltsangabe

Preface; Acknowledgements; 1. Analytical thinking; 2. The R language for statistical computing; 3. Financial statistics; 4. Financial securities; 5. Dataset analytics and risk measurement; 6. Time series analysis; 7. The Sharpe ratio; 8. Markowitz mean-variance optimization; 9. Cluster analysis; 10. Gauging the market sentiment; 11. Simulating trading strategies; 12. Data mining using fundamentals; 13. Prediction using fundamentals; 14. Binomial model for options; 15. Black-Scholes model and option implied volatility; Appendix. Probability distributions and statistical analysis; Index.

Rezensionen

'A very well-written text on financial analytics, focusing on developing statistical models and using simulation to better understand financial data. R is used throughout for examples, allowing the reader to use the text and code to actively engage in the financial market. It is simply the best text on this subject that I have seen. Highly recommended.' Joseph M. Hilbe, Arizona State University