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A primer for financial engineering : financial signal processing and electronic trading /
This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets.
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
London, UK :
Academic Press,
2015.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 001 | SCIDIR_ocn905981079 | ||
| 003 | OCoLC | ||
| 005 | 20231120111949.0 | ||
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| 008 | 150401s2015 enk ob 000 0 eng d | ||
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| 019 | |a 1105191978 |a 1105567286 | ||
| 020 | |a 9780128017500 | ||
| 020 | |a 0128017503 | ||
| 020 | |z 9780128015612 | ||
| 035 | |a (OCoLC)905981079 |z (OCoLC)1105191978 |z (OCoLC)1105567286 | ||
| 050 | 4 | |a HG176.7 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 658.15 |2 23 |
| 100 | 1 | |a Akansu, Ali N., |d 1958- |e author. | |
| 245 | 1 | 2 | |a A primer for financial engineering : |b financial signal processing and electronic trading / |c Ali N. Akansu and Mustafa U. Torun. |
| 264 | 1 | |a London, UK : |b Academic Press, |c 2015. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 520 | |a This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. | ||
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Online resource; title from PDF title page (ScienceDirect, viewed April 1, 2015). | |
| 505 | 0 | |a Front Cover; A Primer for Financial Engineering: Financial Signal Processing and Electronic Trading; Copyright; Dedication; Contents; Preface; Chapter 1: Introduction; 1.1 Disclaimer; Chapter 2: Financial Markets and Instruments; 2.1 Structure of the Markets; 2.2 Financial Instruments; 2.2.1 Stocks; 2.2.2 Options; 2.2.3 Futures Contracts; 2.2.4 Exchange Traded Funds (ETFs); 2.2.5 Currency Pairs; 2.2.6 Fixed Income Securities; 2.3 Summary; Chapter 3: Fundamentals of Quantitative Finance; 3.1 Stock Price Models; 3.1.1 Geometric Brownian Motion Model | |
| 505 | 8 | |a 3.1.2 Models with Local and Stochastic Volatilities3.1.3 Discrete-Time Price Models and Return; 3.2 Asset Returns; 3.2.1 Expected Return, Volatility, and Cross-Correlation of Returns; 3.2.2 Effect of Sampling Frequency on Volatility; 3.2.3 Jumps in the Returns; 3.3 Modern Portfolio Theory; 3.3.1 Portfolio Return and Risk; 3.3.1.1 Two-Asset Portfolio; 3.3.1.2 Multi-asset Portfolio; 3.3.2 Portfolio Optimization; 3.4 Capital Asset Pricing Model; 3.4.1 Capital Market Line; 3.4.2 Market Portfolio; 3.4.3 Beta of an Asset; 3.4.4 Volatility in CAPM; 3.4.5 Expected Return in CAPM | |
| 505 | 8 | |a 3.4.6 Security Market Line3.5 Relative Value and Factor Models; 3.5.1 Two Assets; 3.5.2 Multiple Assets; 3.5.3 Factor Models; 3.5.4 Eigenportfolios; 3.6 Summary; Chapter 4: Trading Strategies; 4.1 Trading Terminology; 4.2 Long and Short Positions; 4.3 Cost of Trading; 4.4 Backtesting; 4.4.1 Profit and Loss of a Trading Strategy; 4.4.2 Performance Measures; 4.4.3 Backtesting a Trading Strategy; 4.4.4 Leverage; 4.5 Pairs Trading and Mean Reversion; 4.5.1 Model Based Pairs Trading; 4.5.2 Market Neutrality; 4.5.3 A Recipe for Pairs Trading; 4.6 Statistical Arbitrage | |
| 505 | 8 | |a 4.6.1 A Recipe for Statistical Arbitrage4.7 Trend Following; 4.7.1 Moving Averages; 4.7.2 Signal Generation Methods for Trend Following; 4.7.3 Moving Averages as Discrete-Time Filters; 4.7.4 A Recipe for Trend Following; 4.8 Trading in Multiple Frequencies; 4.9 Summary; Chapter 5: Risk Estimation and Management; 5.1 Eigenfiltering of Noise in Empirical Correlation Matrix; 5.1.1 Asymptotic Eigenvalue Distribution of a Random Matrix; 5.1.2 Noise in the Empirical Correlation Matrix; 5.1.3 Eigenfiltering of Built-in Market Noise | |
| 505 | 8 | |a 5.1.4 Estimation of Portfolio Risk in Statistical Arbitrage and Eigenfiltering of Market Noise5.2 Risk Estimation for Trading in MultipleFrequencies; 5.3 Fast Eigenfiltering for Risk Estimation; 5.3.1 AR(1) Signal Model; 5.3.2 Motivation; 5.3.3 AR(1) Approximation to Empirical Correlation Matrix; 5.3.4 Portfolio Risk Estimation with Toeplitz Approximation to Empirical Correlation Matrix; 5.3.5 Noise Filtering with Discrete Cosine Transform; 5.4 Portfolio Risk Management; 5.4.1 Stay in the Ellipsoid Method; 5.4.2 Stay on the Ellipsoid Method; 5.4.3 Stay Around the Ellipsoid Method | |
| 650 | 0 | |a Financial engineering. | |
| 650 | 6 | |a Ing�enierie financi�ere. |0 (CaQQLa)201-0226913 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Financial engineering |2 fast |0 (OCoLC)fst00924623 | |
| 700 | 1 | |a Torun, Mustafa U., |e author. | |
| 776 | 0 | 8 | |i Print version: |z 9780128015612 |
| 856 | 4 | 0 | |u https://sciencedirect.uam.elogim.com/science/book/9780128015612 |z Texto completo |