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