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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.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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
- 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
- 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
- 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
- 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