LEADER 05623nam 22007094a 450 001 9910143228603321 005 20170815114809.0 010 $a1-280-27398-4 010 $a9786610273980 010 $a0-470-29950-9 010 $a0-470-87134-2 010 $a0-470-01326-5 035 $a(CKB)111087027097464 035 $a(EBL)219725 035 $a(OCoLC)53970545 035 $a(SSID)ssj0000104794 035 $a(PQKBManifestationID)11117023 035 $a(PQKBTitleCode)TC0000104794 035 $a(PQKBWorkID)10100322 035 $a(PQKB)10267030 035 $a(MiAaPQ)EBC219725 035 $a(EXLCZ)99111087027097464 100 $a20030414d2003 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aApplied quantitative methods for trading and investment$b[electronic resource] /$fedited by Christian L. Dunis, Jason Laws, and Patrick Nai?m 210 $aChichester, West Sussex ;$aHoboken, N.J. $cJohn Wiley$dc2003 215 $a1 online resource (427 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-84885-5 320 $aIncludes bibliographical references and index. 327 $aApplied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration 327 $a2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 327 $a3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E 327 $aAppendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References 327 $aAppendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 327 $a8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk 330 $aThis book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston.Fills the gap for a book on applied quantitative investment 410 0$aWiley finance series. 606 $aFinance$xMathematical models 606 $aInvestments$xMathematical models 606 $aSpeculation$xMathematical models 608 $aElectronic books. 615 0$aFinance$xMathematical models. 615 0$aInvestments$xMathematical models. 615 0$aSpeculation$xMathematical models. 676 $a332.6/01/5195 676 $a332.6015195 701 $aDunis$b Christian$0140728 701 $aLaws$b Jason$0857170 701 $aNai?m$b Patrick$0857114 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143228603321 996 $aApplied quantitative methods for trading and investment$91913992 997 $aUNINA LEADER 04508nam 2200673 450 001 9910796663403321 005 20230808202716.0 010 $a3-11-038735-2 010 $a3-11-037844-2 024 7 $a10.1515/9783110378443 035 $a(CKB)3850000000001072 035 $a(EBL)4714784 035 $a(MiAaPQ)EBC4714784 035 $a(DE-B1597)429945 035 $a(OCoLC)959988756 035 $a(OCoLC)960759620 035 $a(DE-B1597)9783110378443 035 $a(Au-PeEL)EBL4714784 035 $a(CaPaEBR)ebr11279837 035 $a(CaONFJC)MIL961930 035 $a(EXLCZ)993850000000001072 100 $a20161227h20162016 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aGeneralized inverse operators $eand Fredholm boundary-value problems /$fAlexander A. Boichuk, Anatolii M. Samoilenko 205 $a2nd ed. 210 1$aBerlin, [Germany] ;$aBoston, [Massachusetts] :$cDe Gruyter,$d2016. 210 4$dİ2016 215 $a1 online resource (314 p.) 225 1 $aInverse and Ill-Posed Problems Series,$x1381-4524 ;$vVolume 59 300 $aDescription based upon print version of record. 311 $a3-11-037845-0 311 $a3-11-037839-6 320 $aIncludes bibliographical references. 327 $tFrontmatter -- $tContents -- $tPreface -- $tPreface to the second edition -- $tNotation -- $tChapter 1. Preliminary Information -- $tChapter 2. Generalized Inverse Operators in Banach Spaces -- $tChapter 3. Pseudoinverse Operators in Hilbert Spaces -- $tChapter 4. Boundary-Value Problems for Operator Equations -- $tChapter 5. Boundary-Value Problems for Systems of Ordinary Differential Equations -- $tChapter 6. Impulsive Boundary-Value Problems for Systems of Ordinary Differential Equations -- $tChapter 7. Solutions of Differential and Difference Systems Bounded on the Entire Real Axis -- $tEpilogue -- $tBibliography -- $tBackmatter 330 $aThe book is devoted to the foundations of the theory of boundary-value problems for various classes of systems of differential-operator equations whose linear part is represented by Fredholm operators of the general form. A common point of view on numerous classes of problems that were traditionally studied independently of each other enables us to study, in a natural way, the theory of these problems, to supplement and improve the existing results, and in certain cases, study some of these problems for the first time.With the help of the technique of generalized inverse operators, the Vishik- Lyusternik method, and iterative methods, we perform a detailed investigation of the problems of existence, bifurcations, and branching of the solutions of linear and nonlinear boundary-value problems for various classes of differential-operator systems and propose new procedures for their construction.For more than 11 years that have passed since the appearance of the first edition of the monograph, numerous new publications of the authors in this direction have appeared. In this connection, it became necessary to make some additions and corrections to the previous extensively cited edition, which is still of signifi cant interest for the researchers.For researchers, teachers, post-graduate students, and students of physical and mathematical departments of universities. Contents:Preliminary InformationGeneralized Inverse Operators in Banach SpacesPseudoinverse Operators in Hilbert SpacesBoundary-Value Problems for Operator EquationsBoundary-Value Problems for Systems of Ordinary Differential EquationsImpulsive Boundary-Value Problems for Systems of Ordinary Differential EquationsSolutions of Differential and Difference Systems Bounded on the Entire Real Axis 410 0$aInverse and ill-posed problems series ;$vVolume 59. 606 $aFredholm equations 606 $aBoundary value problems 606 $aBanach spaces 606 $aOperator theory 615 0$aFredholm equations. 615 0$aBoundary value problems. 615 0$aBanach spaces. 615 0$aOperator theory. 676 $a515/.35 686 $aSK 620$qSEPA$2rvk 700 $aBoi?chuk$b A. A$g(Aleksandr Andreevich),$01499318 702 $aSamoi?lenko$b A. M$g(Anatolii? Mikhai?lovich), 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910796663403321 996 $aGeneralized inverse operators$93725247 997 $aUNINA