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EBOOKCENTRAL_ocn971264639 |
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OCoLC |
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20240329122006.0 |
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170117s2017 flua ob 001 0 eng d |
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|a NLE
|b eng
|e rda
|e pn
|c NLE
|d OCLCO
|d OCLCF
|d OCLCQ
|d EBLCP
|d YDX
|d MERUC
|d OCLCQ
|d AU@
|d UKAHL
|d NLW
|d OCLCQ
|d OCLCO
|d OCLCQ
|d OCLCO
|d OCLCL
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| 019 |
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|a 1118664507
|a 1274871056
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|a 9781498706490
|q (PDF ebook)
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|a 1498706495
|q (PDF ebook)
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|a 9781315354354
|q (EPUB)
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|a 1315354357
|q (EPUB)
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|z 9781498706483
|q (hbk.)
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| 035 |
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|a (OCoLC)971264639
|z (OCoLC)1118664507
|z (OCoLC)1274871056
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| 037 |
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|a 9781498706490
|b Ingram Content Group
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| 050 |
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4 |
|a HG4515.2.G87 2017
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| 082 |
0 |
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|a 332.6450151
|2 23
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| 049 |
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|a UAMI
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| 100 |
1 |
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|a Guo, Xin,
|d 1969-
|e author.
|1 https://id.oclc.org/worldcat/entity/E39PCjt3C3xPMKhPxDrPkJDMdP
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| 245 |
1 |
0 |
|a Quantitative trading :
|b algorithms, analytics, data, models, optimization /
|c Xin Guo, Tze Leung Lai, Howard Shek & Samuel Po-Shing Wong.
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| 264 |
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1 |
|a Boca Raton :
|b Chapman & Hall/CRC,
|c 2017.
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| 300 |
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|a 1 online resource :
|b illustrations (colour)
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 336 |
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|a still image
|b sti
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 504 |
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|a Includes bibliographical references and index.
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| 588 |
0 |
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|a CIP data; item not viewed.
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|a Cover; Half Title; Title Page; Copyright Page; Dedication; Contents; Preface; List of Figures; List of Tables; 1 Introduction; 1.1 Evolution of trading infrastructure; 1.2 Quantitative strategies and time-scales; 1.3 Statistical arbitrage and debates about EMH; 1.4 Quantitative funds, mutual funds, hedge funds; 1.5 Data, analytics, models, optimization, algorithms; 1.6 Interdisciplinary nature of the subject and how the book can be used; 1.7 Supplements and problems; 2 Statistical Models and Methods for Quantitative Trading; 2.1 Stylized facts on stock price data.
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|a 2.1.1 Time series of low-frequency returns2.1.2 Discrete price changes in high-frequency data; 2.2 Brownian motion models for speculative prices; 2.3 MPT as a ""walking shoe"" down Wall Street; 2.4 Statistical underpinnings of MPT; 2.4.1 Multifactor pricing models; 2.4.2 Bayes, shrinkage, and Black-Litterman estimators; 2.4.3 Bootstrapping and the resampled frontier; 2.5 A new approach incorporating parameter uncertainty; 2.5.1 Solution of the optimization problem; 2.5.2 Computation of the optimal weight vector; 2.5.3 Bootstrap estimate of performance and NPEB.
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|a 2.6 From random walks to martingales that match stylized facts2.6.1 From Gaussian to Paretian random walks; 2.6.2 Random walks with optional sampling times; 2.6.3 From random walks to ARIMA, GARCH; 2.7 Neo-MPT involving martingale regression models; 2.7.1 Incorporating time series effects in NPEB; 2.7.2 Optimizing information ratios along efficient frontier; 2.7.3 An empirical study of neo-MPT; 2.8 Statistical arbitrage and strategies beyond EMH; 2.8.1 Technical rules and the statistical background; 2.8.2 Time series, momentum, and pairs trading strategies.
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|a 2.8.3 Contrarian strategies, behavioral finance, and investors' cognitive biases2.8.4 From value investing to global macro strategies; 2.8.5 In-sample and out-of-sample evaluation; 2.9 Supplements and problems; 3 Active Portfolio Management and Investment Strategies; 3.1 Active alpha and beta in portfolio management; 3.1.1 Sources of alpha; 3.1.2 Exotic beta beyond active alpha; 3.1.3 A new approach to active portfolio optimization; 3.2 Transaction costs, and long-short constraints; 3.2.1 Cost of transactions and its components; 3.2.2 Long-short and other portfolio constraints.
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|a 3.3 Multiperiod portfolio management3.3.1 The Samuelson-Merton theory; 3.3.2 Incorporating transaction costs into Merton's problem; 3.3.3 Multiperiod capital growth and volatility pumping; 3.3.4 Multiperiod mean-variance portfolio rebalancing; 3.3.5 Dynamic mean-variance portfolio optimization; 3.3.6 Dynamic portfolio selection; 3.4 Supplementary notes and comments; 3.5 Exercises; 4 Econometrics of Transactions in Electronic Platforms; 4.1 Transactions and transactions data; 4.2 Models for high-frequency data; 4.2.1 Roll's model of bid-ask bounce.
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| 506 |
1 |
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|a Legal Deposit;
|c Only available on premises controlled by the deposit library and to one user at any one time;
|e The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
|5 WlAbNL
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| 540 |
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|a Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.
|5 WlAbNL
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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0 |
|a Investments
|x Mathematical models.
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| 650 |
|
0 |
|a Speculation
|x Mathematical models.
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| 650 |
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0 |
|a Investments
|x Data processing.
|
| 650 |
|
0 |
|a Electronic trading of securities.
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| 650 |
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6 |
|a Investissements
|x Modèles mathématiques.
|
| 650 |
|
6 |
|a Spéculation
|x Modèles mathématiques.
|
| 650 |
|
6 |
|a Investissements
|x Informatique.
|
| 650 |
|
6 |
|a Valeurs mobilières
|x Commerce électronique.
|
| 650 |
|
7 |
|a MATHEMATICS
|x General.
|2 bisacsh
|
| 650 |
|
7 |
|a MATHEMATICS
|x Probability & Statistics
|x General.
|2 bisacsh
|
| 650 |
|
7 |
|a Electronic trading of securities
|2 fast
|
| 650 |
|
7 |
|a Investments
|x Data processing
|2 fast
|
| 650 |
|
7 |
|a Investments
|x Mathematical models
|2 fast
|
| 650 |
|
7 |
|a Speculation
|x Mathematical models
|2 fast
|
| 700 |
1 |
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|a Lai, T. L.,
|e author.
|
| 700 |
1 |
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|a Shek, Howard,
|e author.
|
| 700 |
1 |
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|a Wong, Samuel Po-Shing,
|e author.
|
| 758 |
|
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|i has work:
|a Quantitative trading (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCFPdxp8QFQ79mWx4bBrtTd
|4 https://id.oclc.org/worldcat/ontology/hasWork
|
| 776 |
0 |
8 |
|i Print version :
|z 9781498706483
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=5475757
|z Texto completo
|
| 938 |
|
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|a Askews and Holts Library Services
|b ASKH
|n AH32714145
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| 938 |
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|a Askews and Holts Library Services
|b ASKH
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|a EBL - Ebook Library
|b EBLB
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|b YANK
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