Search results for: quantitative-trading

Quantitative Trading

Author : Ernie Chan
File Size : 45.29 MB
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While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed.

Quantitative Trading

Author : Xin Guo
File Size : 72.69 MB
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The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.

Quantitative Trading with R

Author : Harry Georgakopoulos
File Size : 70.23 MB
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Quantitative Finance with R offers a winning strategy for devising expertly-crafted and workable trading models using the R open source programming language, providing readers with a step-by-step approach to understanding complex quantitative finance problems and building functional computer code.

Quantitative Trading

Author : Ernie Chan
File Size : 63.71 MB
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While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed.

Quantitative Trading

Author : Ernest P. Chan
File Size : 42.3 MB
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Master the lucrative discipline of quantitative trading with this insightful handbook from a master in the field In the newly revised Second Edition of Quantitative Trading: How to Build Your Own Algorithmic Trading Business, quant trading expert Dr. Ernest P. Chan shows you how to apply both time-tested and novel quantitative trading strategies to develop or improve your own trading firm. You'll discover new case studies and updated information on the application of cutting-edge machine learning investment techniques, as well as: Updated back tests on a variety of trading strategies, with included Python and R code examples A new technique on optimizing parameters with changing market regimes using machine learning. A guide to selecting the best traders and advisors to manage your money Perfect for independent retail traders seeking to start their own quantitative trading business, or investors looking to invest in such traders, this new edition of Quantitative Trading will also earn a place in the libraries of individual investors interested in exploring a career at a major financial institution.

Quantitative Trading

Author : Ernest P. Chan
File Size : 32.58 MB
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Master the lucrative discipline of quantitative trading with this insightful handbook from a master in the field In the newly revised Second Edition of Quantitative Trading: How to Build Your Own Algorithmic Trading Business, quant trading expert Dr. Ernest P. Chan shows you how to apply both time-tested and novel quantitative trading strategies to develop or improve your own trading firm. You'll discover new case studies and updated information on the application of cutting-edge machine learning investment techniques, as well as: Updated back tests on a variety of trading strategies, with included Python and R code examples A new technique on optimizing parameters with changing market regimes using machine learning. A guide to selecting the best traders and advisors to manage your money Perfect for independent retail traders seeking to start their own quantitative trading business, or investors looking to invest in such traders, this new edition of Quantitative Trading will also earn a place in the libraries of individual investors interested in exploring a career at a major financial institution.

Quantitative Trading with R

Author : Harry Georgakopoulos
File Size : 33.54 MB
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Quantitative Finance with R offers a winning strategy for devising expertly-crafted and workable trading models using the R open source programming language, providing readers with a step-by-step approach to understanding complex quantitative finance problems and building functional computer code.

Quantitative Trading Strategies

Author : Lars Kestner
File Size : 61.57 MB
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Harnessing the Power of Quantitative Techniques to Create a Winning Trading ProgramLars Kestner Quantitative Trading Strategies takes readers through the development and evaluation stages of today's most popular and market-proven technical trading strategies. Quantifying every subjective decision in the trading process, this analytical book evaluates the work of well-known "quants" from John Henry to Monroe Trout and introduces 12 all-new trading strategies. It debunks numerous popular misconceptions, and is certain to make waves--and change minds--in the world of technical analysis and trading.

Algorithmic Trading and Quantitative Strategies

Author : Raja Velu
File Size : 35.18 MB
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Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner’s hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals. The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion on the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings. A git-hub repository includes data-sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem.

Practical Quantitative Finance with ASP NET Core and Angular

Author : Jack Xu
File Size : 83.27 MB
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This book provides comprehensive details of developing ultra-modern, responsive single-page applications (SPA) for quantitative finance using ASP.NET Core and Angular. It pays special attention to create distributed web SPA applications and reusable libraries that can be directly used to solve real-world problems in quantitative finance. The book contains: Overview of ASP.NET Core and Angular, which is necessary to create SPA for quantitative finance. Step-by-step approaches to create a variety of Angular compatible real-time stock charts and technical indicators using ECharts and TA-Lib. Introduction to access market data from online data sources using .NET Web API and Angular service, including EOD, intraday, real-time stock quotes, interest rates. Detailed procedures to price equity options and fixed-income instruments using QuantLib, including European/American/Barrier/Bermudan options, bonds, CDS, as well as related topics such as cash flows, term structures, yield curves, discount factors, and zero-coupon bonds. Detailed explanation to linear analysis and machine learning in finance, which covers linear regression, PCA, KNN, SVM, and neural networks. In-depth descriptions of trading strategy development and back-testing for crossover and z-score based trading signals.

Quantitative Trading Systems Second Edition

Author : Howard Bandy
File Size : 22.84 MB
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Mastering R for Quantitative Finance

Author : Edina Berlinger
File Size : 51.50 MB
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This book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.

An Introduction to Quantitative Finance

Author : Christopher Hian Ann Ting
File Size : 68.12 MB
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This concise textbook provides a unique framework to introduce Quantitative Finance to advanced undergraduate and beginning postgraduate students. Inspired by Newton's three laws of motion, three principles of Quantitative Finance are proposed to help practitioners also to understand the pricing of plain vanilla derivatives and fixed income securities. The book provides a refreshing perspective on Box's thesis that "all models are wrong, but some are useful." Being practice- and market-oriented, the author focuses on financial derivatives that matter most to practitioners. The three principles of Quantitative Finance serve as buoys for navigating the treacherous waters of hypotheses, models, and gaps between theory and practice. The author shows that a risk-based parsimonious model for modeling the shape of the yield curve, the arbitrage-free properties of options, the Black-Scholes and binomial pricing models, even the capital asset pricing model and the Modigliani-Miller propositions can be obtained systematically by applying the normative principles of Quantitative Finance.

Algorithmic Trading Methods

Author : Robert Kissell
File Size : 66.6 MB
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Algorithmic Trading Methods: Applications using Advanced Statistics, Optimization, and Machine Learning Techniques, Second Edition, is a sequel to The Science of Algorithmic Trading and Portfolio Management. This edition includes new chapters on algorithmic trading, advanced trading analytics, regression analysis, optimization, and advanced statistical methods. Increasing its focus on trading strategies and models, this edition includes new insights into the ever-changing financial environment, pre-trade and post-trade analysis, liquidation cost & risk analysis, and compliance and regulatory reporting requirements. Highlighting new investment techniques, this book includes material to assist in the best execution process, model validation, quality and assurance testing, limit order modeling, and smart order routing analysis. Includes advanced modeling techniques using machine learning, predictive analytics, and neural networks. The text provides readers with a suite of transaction cost analysis functions packaged as a TCA library. These programming tools are accessible via numerous software applications and programming languages. Provides insight into all necessary components of algorithmic trading including: transaction cost analysis, market impact estimation, risk modeling and optimization, and advanced examination of trading algorithms and corresponding data requirements. Increased coverage of essential mathematics, probability and statistics, machine learning, predictive analytics, and neural networks, and applications to trading and finance. Advanced multiperiod trade schedule optimization and portfolio construction techniques. Techniques to decode broker-dealer and third-party vendor models. Methods to incorporate TCA into proprietary alpha models and portfolio optimizers. TCA library for numerous software applications and programming languages including: MATLAB, Excel Add-In, Python, Java, C/C++, .Net, Hadoop, and as standalone .EXE and .COM applications.

Algorithmic Trading

Author : Ernie Chan
File Size : 67.21 MB
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Praise for Algorithmic Trading "Algorithmic Trading is an insightful book on quantitativetrading written by a seasoned practitioner. What sets this bookapart from many others in the space is the emphasis on realexamples as opposed to just theory. Concepts are not onlydescribed, they are brought to life with actual trading strategies,which give the reader insight into how and why each strategy wasdeveloped, how it was implemented, and even how it was coded. Thisbook is a valuable resource for anyone looking to create their ownsystematic trading strategies and those involved in managerselection, where the knowledge contained in this book will lead toa more informed and nuanced conversation with managers." —DAREN SMITH, CFA, CAIA, FSA, Managing Director, ManagerSelection & Portfolio Construction, University of Toronto AssetManagement "Using an excellent selection of mean reversion and momentumstrategies, Ernie explains the rationale behind each one, shows howto test it, how to improve it, and discusses implementation issues.His book is a careful, detailed exposition of the scientific methodapplied to strategy development. For serious retail traders, I knowof no other book that provides this range of examples and level ofdetail. His discussions of how regime changes affect strategies,and of risk management, are invaluable bonuses." —Roger Hunter, Mathematician and AlgorithmicTrader

Inside the Black Box

Author : Rishi K. Narang
File Size : 50.40 MB
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Inside The Black Box The Simple Truth About Quantitative Trading Rishi K Narang Praise for Inside the Black Box "In Inside the Black Box: The Simple Truth About Quantitative Trading, Rishi Narang demystifies quantitative trading. His explanation and classification of alpha will enlighten even a seasoned veteran." ?Blair Hull, Founder, Hull Trading & Matlock Trading "Rishi provides a comprehensive overview of quantitative investing that should prove useful both to those allocating money to quant strategies and those interested in becoming quants themselves. Rishi's experience as a well-respected quant fund of funds manager and his solid relationships with many practitioners provide ample useful material for his work." ?Peter Muller, Head of Process Driven Trading, Morgan Stanley "A very readable book bringing much needed insight into a subject matter that is not often covered. Provides a framework and guidance that should be valuable to both existing investors and those looking to invest in this area for the first time. Many quants should also benefit from reading this book." ?Steve Evans, Managing Director of Quantitative Trading, Tudor Investment Corporation "Without complex formulae, Narang, himself a leading practitioner, provides an insightful taxonomy of systematic trading strategies in liquid instruments and a framework for considering quantitative strategies within a portfolio. This guide enables an investor to cut through the hype and pretense of secrecy surrounding quantitative strategies." ?Ross Garon, Managing Director, Quantitative Strategies, S.A.C. Capital Advisors, L.P. "Inside the Black Box is a comprehensive, yet easy read. Rishi Narang provides a simple framework for understanding quantitative money management and proves that it is not a black box but rather a glass box for those inside." ?Jean-Pierre Aguilar, former founder and CEO, Capital Fund Management "This book is great for anyone who wants to understand quant trading, without digging in to the equations. It explains the subject in intuitive, economic terms." ?Steven Drobny, founder, Drobny Global Asset Management, and author, Inside the House of Money "Rishi Narang does an excellent job demystifying how quants work, in an accessible and fun read. This book should occupy a key spot on anyone's bookshelf who is interested in understanding how this ever increasing part of the investment universe actually operates." ?Matthew S. Rothman, PhD, Global Head of Quantitative Equity Strategies Barclays Capital "Inside the Black Box provides a comprehensive and intuitive introduction to "quant" strategies. It succinctly explains the building blocks of such strategies and how they fit together, while conveying the myriad possibilities and design details it takes to build a successful model driven investment strategy." ?Asriel Levin, PhD, Managing Member, Menta Capital, LLC

Paul Wilmott on Quantitative Finance

Author : Paul Wilmott
File Size : 40.30 MB
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Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD-ROM. Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return. The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling. Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets. Volume 3: Advanced Topics; Numerical Methods and Programs. In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved. Throughout the volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book—in cartoon form, readers will be relieved to hear—to personally highlight and explain the key sections and issues discussed. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Learning Quantitative Finance with R

Author : Dr. Param Jeet
File Size : 82.24 MB
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Implement machine learning, time-series analysis, algorithmic trading and more About This Book Understand the basics of R and how they can be applied in various Quantitative Finance scenarios Learn various algorithmic trading techniques and ways to optimize them using the tools available in R. Contain different methods to manage risk and explore trading using Machine Learning. Who This Book Is For If you want to learn how to use R to build quantitative finance models with ease, this book is for you. Analysts who want to learn R to solve their quantitative finance problems will also find this book useful. Some understanding of the basic financial concepts will be useful, though prior knowledge of R is not required. What You Will Learn Get to know the basics of R and how to use it in the field of Quantitative Finance Understand data processing and model building using R Explore different types of analytical techniques such as statistical analysis, time-series analysis, predictive modeling, and econometric analysis Build and analyze quantitative finance models using real-world examples How real-life examples should be used to develop strategies Performance metrics to look into before deciding upon any model Deep dive into the vast world of machine-learning based trading Get to grips with algorithmic trading and different ways of optimizing it Learn about controlling risk parameters of financial instruments In Detail The role of a quantitative analyst is very challenging, yet lucrative, so there is a lot of competition for the role in top-tier organizations and investment banks. This book is your go-to resource if you want to equip yourself with the skills required to tackle any real-world problem in quantitative finance using the popular R programming language. You'll start by getting an understanding of the basics of R and its relevance in the field of quantitative finance. Once you've built this foundation, we'll dive into the practicalities of building financial models in R. This will help you have a fair understanding of the topics as well as their implementation, as the authors have presented some use cases along with examples that are easy to understand and correlate. We'll also look at risk management and optimization techniques for algorithmic trading. Finally, the book will explain some advanced concepts, such as trading using machine learning, optimizations, exotic options, and hedging. By the end of this book, you will have a firm grasp of the techniques required to implement basic quantitative finance models in R. Style and approach This book introduces you to the essentials of quantitative finance with the help of easy-to-understand, practical examples and use cases in R. Each chapter presents a specific financial concept in detail, backed with relevant theory and the implementation of a real-life example.

Quantitative Finance For Dummies

Author : Steve Bell
File Size : 63.6 MB
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An accessible, thorough introduction to quantitative finance Does the complex world of quantitative finance make you quiver? You're not alone! It's a tough subject for even high-level financial gurus to grasp, but Quantitative Finance For Dummies offers plain-English guidance on making sense of applying mathematics to investing decisions. With this complete guide, you'll gain a solid understanding of futures, options and risk, and get up-to-speed on the most popular equations, methods, formulas and models (such as the Black-Scholes model) that are applied in quantitative finance. Also known as mathematical finance, quantitative finance is the field of mathematics applied to financial markets. It's a highly technical discipline—but almost all investment companies and hedge funds use quantitative methods. This fun and friendly guide breaks the subject of quantitative finance down to easily digestible parts, making it approachable for personal investors and finance students alike. With the help of Quantitative Finance For Dummies, you'll learn the mathematical skills necessary for success with quantitative finance, the most up-to-date portfolio and risk management applications and everything you need to know about basic derivatives pricing. Covers the core models, formulas and methods used in quantitative finance Includes examples and brief exercises to help augment your understanding of QF Provides an easy-to-follow introduction to the complex world of quantitative finance Explains how QF methods are used to define the current market value of a derivative security Whether you're an aspiring quant or a top-tier personal investor, Quantitative Finance For Dummies is your go-to guide for coming to grips with QF/risk management.

Quantitative Finance For Dummies

Author : Steve Bell
File Size : 28.54 MB
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An accessible, thorough introduction to quantitative finance Does the complex world of quantitative finance make you quiver?You're not alone! It's a tough subject for even high-levelfinancial gurus to grasp, but Quantitative Finance ForDummies offers plain-English guidance on making sense ofapplying mathematics to investing decisions. With this completeguide, you'll gain a solid understanding of futures, options andrisk, and get up-to-speed on the most popular equations, methods,formulas and models (such as the Black-Scholes model) that areapplied in quantitative finance. Also known as mathematical finance, quantitative finance is thefield of mathematics applied to financial markets. It's a highlytechnical discipline—but almost all investment companies andhedge funds use quantitative methods. This fun and friendly guidebreaks the subject of quantitative finance down to easilydigestible parts, making it approachable for personal investors andfinance students alike. With the help of Quantitative FinanceFor Dummies, you'll learn the mathematical skills necessary forsuccess with quantitative finance, the most up-to-date portfolioand risk management applications and everything you need to knowabout basic derivatives pricing. Covers the core models, formulas and methods used inquantitative finance Includes examples and brief exercises to help augment yourunderstanding of QF Provides an easy-to-follow introduction to the complex world ofquantitative finance Explains how QF methods are used to define the current marketvalue of a derivative security Whether you're an aspiring quant or a top-tier personalinvestor, Quantitative Finance For Dummies is your go-toguide for coming to grips with QF/risk management.