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Modeling maximum trading profits with C++ [[electronic resource] ] : new trading and money management concepts / / Valerii Salov
| Modeling maximum trading profits with C++ [[electronic resource] ] : new trading and money management concepts / / Valerii Salov |
| Autore | Salov Valerii <1960-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, Inc., c2007 |
| Descrizione fisica | 1 online resource (266 p.) |
| Disciplina |
332.60113
332.602855362 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis - Computer programs
Investments - Mathematical models C++ (Computer program language) Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-19687-6
1-280-82215-5 9786610822157 0-470-11221-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Modeling Maximum Trading Profits with C++; Contents; Preface; Acknowledgments; Chapter 1: Potential Profit as a Measure of Market Performance; PROFIT AND POTENTIAL PROFIT; PRICE FLOW AND C++; PARDO'S POTENTIAL PROFIT; CONCLUSIONS; Chapter 2: Potential Profit and Transaction Costs; WHAT IS A TRADING STRATEGY?; PROPERTIES OF POTENTIAL PROFIT STRATEGY; TRANSACTION COSTS; TRANSACTION COSTS AND C++; PROFIT-AND-LOSS FUNCTION; CONCLUSIONS; Chapter 3: R- and L-Algorithms for Maximum Profit Strategy; S-FUNCTION AND S-MATRIX; INTERVAL AND ITS BOUNDARIES
THE BEST BUYING AND SELLING POINTS ON THE S-INTERVALPOLARITY OF S-INTERVALS; R-ALGORITHM; L-ALGORITHM; C++ IMPLEMENTATION; C++ PROGRAM EVALUATING POTENTIAL PROFIT; CONCLUSIONS; Chapter 4: Money Management and Discrete Nature of Trading; DENOMINATIONS; INDUCTION AND TRADING ACCOUNT SIZE; GROWTH FUNCTION AND OPTIMAL B; DISCRETE NATURE OF TRADING; CONCLUSIONS; Chapter 5: Money Management for Potential Profit Strategy; THE BEST ALLOCATION FRACTION FOR POTENTIAL PROFIT STRATEGY; SELF-FINANCING RESTRICTION; MINIMAL A; ACTIONS AND POSITIONS TEST4.CPP; THE FIRST AND SECOND P&L RESERVES RULES FOR OFFSETTING POSITIONSCLASSES TRADE AND TRADES; CLASS POSITION; USING POSITION AND TRADES TEST5.CPP; CONCLUSIONS; Chapter 6: Best to Better; ALGORITHM FOR THE FIRST PROFIT-AND-LOSS RESERVE STRATEGY; ALGORITHM FOR THE SECOND P&L RESERVE STRATEGY; PROGRAM APPLYING THREE ALGORITHMS; CONCLUSIONS; Chapter 7: Direct Applications; ONLY IN THE PAST; SLEEPING BEAUTY; WAR AND PEACE; CONCLUSIONS; Chapter 8: Indicators Based on Potential Profit; PERFORMANCE MEASURES AND INDICATORS; STRATEGY EVALUATION; CONCLUSIONS; Chapter 9: Statistics of Trades and Potential Profit STATISTICAL PROPERTIES OF TRADESPROGRAM EVALUATING STRATEGY AND TRADES; CONCLUSIONS; Chapter 10: Comparing Markets; TIME FRAME AND PRICES; SELECTED CONTRACTS; DATA FILE FORMAT; RESULTS OF APPLICATION OF MAXPROF3 AND EVALUATE; MULTIMARKET POTENTIAL PROFIT ALGORITHMS; EPILOGUE; CONCLUSIONS; Bibliography and Sources; About the CD-ROM; INTRODUCTION; SYSTEM REQUIREMENTS; USING THE CD; WHAT'S ON THE CD; Index |
| Record Nr. | UNINA-9910143690603321 |
Salov Valerii <1960->
|
||
| Hoboken, N.J., : J. Wiley & Sons, Inc., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling maximum trading profits with C++ [[electronic resource] ] : new trading and money management concepts / / Valerii Salov
| Modeling maximum trading profits with C++ [[electronic resource] ] : new trading and money management concepts / / Valerii Salov |
| Autore | Salov Valerii <1960-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, Inc., c2007 |
| Descrizione fisica | 1 online resource (266 p.) |
| Disciplina |
332.60113
332.602855362 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis - Computer programs
Investments - Mathematical models C++ (Computer program language) Financial engineering |
| ISBN |
1-119-19687-6
1-280-82215-5 9786610822157 0-470-11221-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Modeling Maximum Trading Profits with C++; Contents; Preface; Acknowledgments; Chapter 1: Potential Profit as a Measure of Market Performance; PROFIT AND POTENTIAL PROFIT; PRICE FLOW AND C++; PARDO'S POTENTIAL PROFIT; CONCLUSIONS; Chapter 2: Potential Profit and Transaction Costs; WHAT IS A TRADING STRATEGY?; PROPERTIES OF POTENTIAL PROFIT STRATEGY; TRANSACTION COSTS; TRANSACTION COSTS AND C++; PROFIT-AND-LOSS FUNCTION; CONCLUSIONS; Chapter 3: R- and L-Algorithms for Maximum Profit Strategy; S-FUNCTION AND S-MATRIX; INTERVAL AND ITS BOUNDARIES
THE BEST BUYING AND SELLING POINTS ON THE S-INTERVALPOLARITY OF S-INTERVALS; R-ALGORITHM; L-ALGORITHM; C++ IMPLEMENTATION; C++ PROGRAM EVALUATING POTENTIAL PROFIT; CONCLUSIONS; Chapter 4: Money Management and Discrete Nature of Trading; DENOMINATIONS; INDUCTION AND TRADING ACCOUNT SIZE; GROWTH FUNCTION AND OPTIMAL B; DISCRETE NATURE OF TRADING; CONCLUSIONS; Chapter 5: Money Management for Potential Profit Strategy; THE BEST ALLOCATION FRACTION FOR POTENTIAL PROFIT STRATEGY; SELF-FINANCING RESTRICTION; MINIMAL A; ACTIONS AND POSITIONS TEST4.CPP; THE FIRST AND SECOND P&L RESERVES RULES FOR OFFSETTING POSITIONSCLASSES TRADE AND TRADES; CLASS POSITION; USING POSITION AND TRADES TEST5.CPP; CONCLUSIONS; Chapter 6: Best to Better; ALGORITHM FOR THE FIRST PROFIT-AND-LOSS RESERVE STRATEGY; ALGORITHM FOR THE SECOND P&L RESERVE STRATEGY; PROGRAM APPLYING THREE ALGORITHMS; CONCLUSIONS; Chapter 7: Direct Applications; ONLY IN THE PAST; SLEEPING BEAUTY; WAR AND PEACE; CONCLUSIONS; Chapter 8: Indicators Based on Potential Profit; PERFORMANCE MEASURES AND INDICATORS; STRATEGY EVALUATION; CONCLUSIONS; Chapter 9: Statistics of Trades and Potential Profit STATISTICAL PROPERTIES OF TRADESPROGRAM EVALUATING STRATEGY AND TRADES; CONCLUSIONS; Chapter 10: Comparing Markets; TIME FRAME AND PRICES; SELECTED CONTRACTS; DATA FILE FORMAT; RESULTS OF APPLICATION OF MAXPROF3 AND EVALUATE; MULTIMARKET POTENTIAL PROFIT ALGORITHMS; EPILOGUE; CONCLUSIONS; Bibliography and Sources; About the CD-ROM; INTRODUCTION; SYSTEM REQUIREMENTS; USING THE CD; WHAT'S ON THE CD; Index |
| Record Nr. | UNINA-9910831080503321 |
|
Salov Valerii <1960->
|
||
| Hoboken, N.J., : J. Wiley & Sons, Inc., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling maximum trading profits with C++ [[electronic resource] ] : new trading and money management concepts / / Valerii Salov
| Modeling maximum trading profits with C++ [[electronic resource] ] : new trading and money management concepts / / Valerii Salov |
| Autore | Salov Valerii <1960-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, Inc., c2007 |
| Descrizione fisica | 1 online resource (266 p.) |
| Disciplina |
332.60113
332.602855362 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis - Computer programs
Investments - Mathematical models C++ (Computer program language) Financial engineering |
| ISBN |
1-119-19687-6
1-280-82215-5 9786610822157 0-470-11221-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Modeling Maximum Trading Profits with C++; Contents; Preface; Acknowledgments; Chapter 1: Potential Profit as a Measure of Market Performance; PROFIT AND POTENTIAL PROFIT; PRICE FLOW AND C++; PARDO'S POTENTIAL PROFIT; CONCLUSIONS; Chapter 2: Potential Profit and Transaction Costs; WHAT IS A TRADING STRATEGY?; PROPERTIES OF POTENTIAL PROFIT STRATEGY; TRANSACTION COSTS; TRANSACTION COSTS AND C++; PROFIT-AND-LOSS FUNCTION; CONCLUSIONS; Chapter 3: R- and L-Algorithms for Maximum Profit Strategy; S-FUNCTION AND S-MATRIX; INTERVAL AND ITS BOUNDARIES
THE BEST BUYING AND SELLING POINTS ON THE S-INTERVALPOLARITY OF S-INTERVALS; R-ALGORITHM; L-ALGORITHM; C++ IMPLEMENTATION; C++ PROGRAM EVALUATING POTENTIAL PROFIT; CONCLUSIONS; Chapter 4: Money Management and Discrete Nature of Trading; DENOMINATIONS; INDUCTION AND TRADING ACCOUNT SIZE; GROWTH FUNCTION AND OPTIMAL B; DISCRETE NATURE OF TRADING; CONCLUSIONS; Chapter 5: Money Management for Potential Profit Strategy; THE BEST ALLOCATION FRACTION FOR POTENTIAL PROFIT STRATEGY; SELF-FINANCING RESTRICTION; MINIMAL A; ACTIONS AND POSITIONS TEST4.CPP; THE FIRST AND SECOND P&L RESERVES RULES FOR OFFSETTING POSITIONSCLASSES TRADE AND TRADES; CLASS POSITION; USING POSITION AND TRADES TEST5.CPP; CONCLUSIONS; Chapter 6: Best to Better; ALGORITHM FOR THE FIRST PROFIT-AND-LOSS RESERVE STRATEGY; ALGORITHM FOR THE SECOND P&L RESERVE STRATEGY; PROGRAM APPLYING THREE ALGORITHMS; CONCLUSIONS; Chapter 7: Direct Applications; ONLY IN THE PAST; SLEEPING BEAUTY; WAR AND PEACE; CONCLUSIONS; Chapter 8: Indicators Based on Potential Profit; PERFORMANCE MEASURES AND INDICATORS; STRATEGY EVALUATION; CONCLUSIONS; Chapter 9: Statistics of Trades and Potential Profit STATISTICAL PROPERTIES OF TRADESPROGRAM EVALUATING STRATEGY AND TRADES; CONCLUSIONS; Chapter 10: Comparing Markets; TIME FRAME AND PRICES; SELECTED CONTRACTS; DATA FILE FORMAT; RESULTS OF APPLICATION OF MAXPROF3 AND EVALUATE; MULTIMARKET POTENTIAL PROFIT ALGORITHMS; EPILOGUE; CONCLUSIONS; Bibliography and Sources; About the CD-ROM; INTRODUCTION; SYSTEM REQUIREMENTS; USING THE CD; WHAT'S ON THE CD; Index |
| Record Nr. | UNINA-9910841496503321 |
|
Salov Valerii <1960->
|
||
| Hoboken, N.J., : J. Wiley & Sons, Inc., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910144117103321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910831187503321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910841477003321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||