Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied 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
2.3 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 3.6 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 Appendix 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 Appendix 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 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910143228603321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied 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
2.3 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 3.6 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 Appendix 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 Appendix 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 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910830386503321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment / / edited by Christian L. Dunis, Jason Laws, and Patrick Naim
| Applied quantitative methods for trading and investment / / edited by Christian L. Dunis, Jason Laws, and Patrick Naim |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina | 332.6/01/5195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaimPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied 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
2.3 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 3.6 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 Appendix 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 Appendix 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 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910876942803321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting in financial and sports gambling markets [[electronic resource] ] : adaptive drift modeling / / William S. Mallios
| Forecasting in financial and sports gambling markets [[electronic resource] ] : adaptive drift modeling / / William S. Mallios |
| Autore | Mallios William S (William Steve), <1935-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (280 p.) |
| Disciplina |
332.6015195
332.63/2220112 332.632220112 |
| Soggetto topico |
Investments - Mathematical models
Speculation - Mathematical models Sports betting - Mathematical models |
| ISBN |
1-118-09953-2
1-283-02512-4 9786613025128 0-470-88061-9 0-470-88059-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Forecasting in Financial and Sports Gambling Markets; Contents; Preface; 1. Introduction; 2. Market Perspectives: Through a Glass Darkly; 3. Opacity and Present-Day Dynamics; 4. Adaptive Modeling Concepts in Dynamic Markets; 5. Studies in Japanese Candlestick Charts; 6. Pseudo-Candlesticks for Major League Baseball; 7. Single-Equation Adaptive Drift Modeling; 8. Single-Equation Modeling: Sports Gambling Markets; 9. Simultaneous Financial Time Series; 10. Modeling Cointegrated Time Series Associated with NBA and NFL Games; 11. Categorical Forecasting
12. Financial/Mathematical Illiteracy and Adolescent Problem Gambling 13. The Influenza Futures Markets; References; Index |
| Record Nr. | UNINA-9910139217003321 |
Mallios William S (William Steve), <1935->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting in financial and sports gambling markets : adaptive drift modeling / / William S. Mallios
| Forecasting in financial and sports gambling markets : adaptive drift modeling / / William S. Mallios |
| Autore | Mallios William S (William Steve), <1935-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (280 p.) |
| Disciplina |
332.6015195
332.63/2220112 332.632220112 |
| Soggetto topico |
Investments - Mathematical models
Speculation - Mathematical models Sports betting - Mathematical models |
| ISBN |
1-118-09953-2
1-283-02512-4 9786613025128 0-470-88061-9 0-470-88059-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Forecasting in Financial and Sports Gambling Markets; Contents; Preface; 1. Introduction; 2. Market Perspectives: Through a Glass Darkly; 3. Opacity and Present-Day Dynamics; 4. Adaptive Modeling Concepts in Dynamic Markets; 5. Studies in Japanese Candlestick Charts; 6. Pseudo-Candlesticks for Major League Baseball; 7. Single-Equation Adaptive Drift Modeling; 8. Single-Equation Modeling: Sports Gambling Markets; 9. Simultaneous Financial Time Series; 10. Modeling Cointegrated Time Series Associated with NBA and NFL Games; 11. Categorical Forecasting
12. Financial/Mathematical Illiteracy and Adolescent Problem Gambling 13. The Influenza Futures Markets; References; Index |
| Record Nr. | UNINA-9910807230803321 |
|
Mallios William S (William Steve), <1935->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading models [[electronic resource] /] / Gewei Ye
| High-frequency trading models [[electronic resource] /] / Gewei Ye |
| Autore | Ye Gewei <1971-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2011 |
| Descrizione fisica | 1 online resource (xiv, 322 pages) : illustrations |
| Disciplina | 332.64/501 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Speculation - Mathematical models Portfolio management - Mathematical models Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20172-1
1-283-02551-5 9786613025517 0-470-92584-1 0-470-92582-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Revenue models of high-frequency trading -- pt. 2. Theoretical models as foundation of computer algos for high-frequency trading -- pt. 3. A unique model of sentiment asset pricing engine for portfolio management -- pt. 4. New models of high-frequency trading. |
| Record Nr. | UNINA-9910141040703321 |
|
Ye Gewei <1971->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading models [[electronic resource] /] / Gewei Ye
| High-frequency trading models [[electronic resource] /] / Gewei Ye |
| Autore | Ye Gewei <1971-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2011 |
| Descrizione fisica | 1 online resource (xiv, 322 pages) : illustrations |
| Disciplina | 332.64/501 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Speculation - Mathematical models Portfolio management - Mathematical models Financial engineering |
| ISBN |
1-119-20172-1
1-283-02551-5 9786613025517 0-470-92584-1 0-470-92582-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Revenue models of high-frequency trading -- pt. 2. Theoretical models as foundation of computer algos for high-frequency trading -- pt. 3. A unique model of sentiment asset pricing engine for portfolio management -- pt. 4. New models of high-frequency trading. |
| Record Nr. | UNINA-9910830613903321 |
|
Ye Gewei <1971->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading models [[electronic resource] /] / Gewei Ye
| High-frequency trading models [[electronic resource] /] / Gewei Ye |
| Autore | Ye Gewei <1971-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2011 |
| Descrizione fisica | 1 online resource (xiv, 322 pages) : illustrations |
| Disciplina | 332.64/501 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Speculation - Mathematical models Portfolio management - Mathematical models Financial engineering |
| ISBN |
1-119-20172-1
1-283-02551-5 9786613025517 0-470-92584-1 0-470-92582-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Revenue models of high-frequency trading -- pt. 2. Theoretical models as foundation of computer algos for high-frequency trading -- pt. 3. A unique model of sentiment asset pricing engine for portfolio management -- pt. 4. New models of high-frequency trading. |
| Record Nr. | UNINA-9910877560603321 |
|
Ye Gewei <1971->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Louis Bachelier's theory of speculation [[electronic resource] ] : the origins of modern finance / / translated and with commentary by Mark Davis and Alison Etheridge
| Louis Bachelier's theory of speculation [[electronic resource] ] : the origins of modern finance / / translated and with commentary by Mark Davis and Alison Etheridge |
| Autore | Bachelier Louis <b. 1870.> |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ. ; ; Oxford, : Princeton University Press, c2006 |
| Descrizione fisica | 1 online resource (206 p.) |
| Disciplina | 332.645015118 |
| Altri autori (Persone) |
DavisM. H. A
EtheridgeAlison |
| Soggetto topico |
Speculation - Mathematical models
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-29829-1
9786612298295 1-4008-2930-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Foreword / Samuelson, Paul A. -- Preface -- Chapter One. Mathematics and Finance -- Chapter Two. Théorie de la Spéculation -- Chapter Three. From Bachelier to Kreps, Harrison and Pliska -- Chapter Four. Facsimile of Bachelier's Original Thesis -- References |
| Record Nr. | UNINA-9910454919603321 |
|
Bachelier Louis <b. 1870.>
|
||
| Princeton, NJ. ; ; Oxford, : Princeton University Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Louis Bachelier's theory of speculation [[electronic resource] ] : the origins of modern finance / / translated and with commentary by Mark Davis and Alison Etheridge
| Louis Bachelier's theory of speculation [[electronic resource] ] : the origins of modern finance / / translated and with commentary by Mark Davis and Alison Etheridge |
| Autore | Bachelier Louis <b. 1870.> |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ. ; ; Oxford, : Princeton University Press, c2006 |
| Descrizione fisica | 1 online resource (206 p.) |
| Disciplina | 332.645015118 |
| Altri autori (Persone) |
DavisM. H. A
EtheridgeAlison |
| Soggetto topico |
Speculation - Mathematical models
Finance - Mathematical models |
| ISBN |
1-282-29829-1
9786612298295 1-4008-2930-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Foreword / Samuelson, Paul A. -- Preface -- Chapter One. Mathematics and Finance -- Chapter Two. Théorie de la Spéculation -- Chapter Three. From Bachelier to Kreps, Harrison and Pliska -- Chapter Four. Facsimile of Bachelier's Original Thesis -- References |
| Record Nr. | UNINA-9910778583203321 |
|
Bachelier Louis <b. 1870.>
|
||
| Princeton, NJ. ; ; Oxford, : Princeton University Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
