{"product_id":"applied-quantitative-methods-for-trading-and-investment-hardback-9780470848852","title":"Applied Quantitative Methods for Trading and Investment (Hardback) 9780470848852","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eApplied Quantitative Methods for Trading and Investment\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eChristian L. Dunis (Edited by), Jason Laws (Edited by), Patrick Na¿m (Edited by)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470848852, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 16 September 2003\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e448 pages\u003cbr\u003e25.2 x 17.7 x 3.1 cm, 0.879 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThis 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.  \u003cul\u003e \u003cli\u003e 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.\u003c\/li\u003e \u003cli\u003eFills the gap for a book on applied quantitative investment \u0026amp; trading models\u003c\/li\u003e \u003cli\u003eProvides details of how to combine various models to manage and trade a portfolio\u003c\/li\u003e \u003c\/ul\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cb\u003eAbout the Contributors.\u003c\/b\u003e  \u003cp\u003e\u003cb\u003ePreface.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Applications of Advanced Regression Analysis for Trading and Investment\u003c\/b\u003e (\u003ci\u003eChristian L. Dunis and Mark Williams\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e1.1 Introduction.\u003c\/p\u003e \u003cp\u003e1.2 Literature review.\u003c\/p\u003e \u003cp\u003e1.3 The exchange rate and related financial data.\u003c\/p\u003e \u003cp\u003e1.4 Benchmark models: theory and methodology.\u003c\/p\u003e \u003cp\u003e1.5 Neural network models: theory and methodology.\u003c\/p\u003e \u003cp\u003e1.6 Forecasting accuracy and trading simulation.\u003c\/p\u003e \u003cp\u003e1.7 Concluding remarks.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Using Cointegration to Hedge and Trade International Equities\u003c\/b\u003e (\u003ci\u003eA. Neil Burgess\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e2.1 Introduction.\u003c\/p\u003e \u003cp\u003e2.2 Time series modelling and cointegration.\u003c\/p\u003e \u003cp\u003e2.3 Implicit hedging of unknown common risk factors.\u003c\/p\u003e \u003cp\u003e2.4 Relative value and statistical arbitrage.\u003c\/p\u003e \u003cp\u003e2.5 Illustration of cointegration in a controlled simulation.\u003c\/p\u003e \u003cp\u003e2.6 Application to international equities.\u003c\/p\u003e \u003cp\u003e2.7 Discussion and conclusions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve\u003c\/b\u003e (\u003ci\u003eNuno Cassola and Jorge Barros Luis\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e3.1 Introduction.\u003c\/p\u003e \u003cp\u003e3.2 Background issues on asset pricing.\u003c\/p\u003e \u003cp\u003e3.3 Duffie–Kan affine models of the term structure.\u003c\/p\u003e \u003cp\u003e3.4 A forward rate test of the expectations theory.\u003c\/p\u003e \u003cp\u003e3.5 Identification.\u003c\/p\u003e \u003cp\u003e3.6 Econometric methodology and applications.\u003c\/p\u003e \u003cp\u003e3.7 Estimation results.\u003c\/p\u003e \u003cp\u003e3.8 Conclusions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination\u003c\/b\u003e (\u003ci\u003eChristian L. Dunis and Xuehuan Huang\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e4.1 Introduction.\u003c\/p\u003e \u003cp\u003e4.2 The exchange rate and volatility data.\u003c\/p\u003e \u003cp\u003e4.3 The GARCH (1,1) benchmark volatility forecasts.\u003c\/p\u003e \u003cp\u003e4.4 The neural network volatility forecasts.\u003c\/p\u003e \u003cp\u003e4.5 Model combinations and forecasting accuracy.\u003c\/p\u003e \u003cp\u003e4.6 Foreign exchange volatility trading models.\u003c\/p\u003e \u003cp\u003e4.7 Concluding remarks and further work.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk\u003c\/b\u003e (\u003ci\u003eGeorge T. Albanis\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e5.1 Introduction.\u003c\/p\u003e \u003cp\u003e5.2 Data description.\u003c\/p\u003e \u003cp\u003e5.3 Neural networks for classification in Excel.\u003c\/p\u003e \u003cp\u003e5.4 Classification tree in Excel.\u003c\/p\u003e \u003cp\u003e5.5 See5 classifier.\u003c\/p\u003e \u003cp\u003e5.6 Conclusions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Switching Regime Volatility: An Empirical Evaluation\u003c\/b\u003e (\u003ci\u003eBruno B. Roche and Michael Rockinger\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e6.1 Introduction.\u003c\/p\u003e \u003cp\u003e6.2 The model.\u003c\/p\u003e \u003cp\u003e6.3 Maximum likelihood estimation.\u003c\/p\u003e \u003cp\u003e6.4 An application to foreign exchange rates.\u003c\/p\u003e \u003cp\u003e6.5 Conclusion.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities\u003c\/b\u003e (\u003ci\u003eYves Bentz\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e7.1 Introduction.\u003c\/p\u003e \u003cp\u003e7.2 Factor sensitivities defined.\u003c\/p\u003e \u003cp\u003e7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method.\u003c\/p\u003e \u003cp\u003e7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method.\u003c\/p\u003e \u003cp\u003e7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities.\u003c\/p\u003e \u003cp\u003e7.6 Conclusion.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk\u003c\/b\u003e (\u003ci\u003eMonica Billio and Domenico Sartore\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e8.1 Introduction.\u003c\/p\u003e \u003cp\u003e8.2 Models of changing volatility.\u003c\/p\u003e \u003cp\u003e8.3 Stochastic volatility models.\u003c\/p\u003e \u003cp\u003e8.4 Estimation.\u003c\/p\u003e \u003cp\u003e8.5 Extensions of SV models.\u003c\/p\u003e \u003cp\u003e8.6 Multivariate models.\u003c\/p\u003e \u003cp\u003e8.7 Empirical applications.\u003c\/p\u003e \u003cp\u003e8.8 Concluding remarks.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Portfolio Analysis Using Excel\u003c\/b\u003e (\u003ci\u003eJason Laws\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e9.1 Introduction.\u003c\/p\u003e \u003cp\u003e9.2 The simple Markovitz model.\u003c\/p\u003e \u003cp\u003e9.3 The matrix approach to portfolio risk.\u003c\/p\u003e \u003cp\u003e9.4 Matrix algebra in Excel when the number of assets increases.\u003c\/p\u003e \u003cp\u003e9.5 Alternative optimisation targets.\u003c\/p\u003e \u003cp\u003e9.6 Conclusion.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Applied Volatility and Correlation Modelling Using Excel\u003c\/b\u003e (\u003ci\u003eFrederick Bourgoin\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e10.1 Introduction.\u003c\/p\u003e \u003cp\u003e10.2 The Basics.\u003c\/p\u003e \u003cp\u003e10.3 Univariate models.\u003c\/p\u003e \u003cp\u003e10.4 Multivariate models.\u003c\/p\u003e \u003cp\u003e10.5 Conclusion.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results\u003c\/b\u003e (\u003ci\u003ePierre Lequeux\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e11.1 Introduction.\u003c\/p\u003e \u003cp\u003e11.2 Data.\u003c\/p\u003e \u003cp\u003e11.3 Moving averages and their statistical properties.\u003c\/p\u003e \u003cp\u003e11.4 Trading rule equivalence.\u003c\/p\u003e \u003cp\u003e11.5 Expected transactions cost under assumption of random walk.\u003c\/p\u003e \u003cp\u003e11.6 Theoretical correlation of linear forecasters.\u003c\/p\u003e \u003cp\u003e11.7 Expected volatility of MA.\u003c\/p\u003e \u003cp\u003e11.8 Expected return of linear forecasters.\u003c\/p\u003e \u003cp\u003e11.9 An applied example.\u003c\/p\u003e \u003cp\u003e11.10 Final remarks.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Portfolio Management and Information from Over-the-Counter Currency Options\u003c\/b\u003e (\u003ci\u003eJorge Barros Luis\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e12.1 Introduction.\u003c\/p\u003e \u003cp\u003e12.2 The valuation of currency options spreads.\u003c\/p\u003e \u003cp\u003e12.3 RND estimation using option spreads.\u003c\/p\u003e \u003cp\u003e12.4 Measures of correlation and option prices.\u003c\/p\u003e \u003cp\u003e12.5 Indicators of credibility of an exchange rate band.\u003c\/p\u003e \u003cp\u003e12.6 Empirical applications.\u003c\/p\u003e \u003cp\u003e12.7 Conclusions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Filling Analysis for Missing Data: An Application to Weather Risk Management\u003c\/b\u003e (\u003ci\u003eChristian L. Dunis and Vassilios Karalis\u003c\/i\u003e).\u003c\/p\u003e \u003cp\u003eAbstract.\u003c\/p\u003e \u003cp\u003e13.1 Introduction.\u003c\/p\u003e \u003cp\u003e13.2 Weather data and weather derivatives.\u003c\/p\u003e \u003cp\u003e13.3 Alternative filling methods for missing data.\u003c\/p\u003e \u003cp\u003e13.4 Empirical results.\u003c\/p\u003e \u003cp\u003e13.5 Concluding remarks.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52503005659416,"sku":"9780470848852","price":93.49,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780470848852.jpg?v=1786323267","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/applied-quantitative-methods-for-trading-and-investment-hardback-9780470848852","provider":"Freshly Printed Books","version":"1.0","type":"link"}