STATISTICAL MODELS AND METHODS FOR FINANCIAL MARKETS SPRINGER TEXTS IN STATISTICS

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Statistical Models And Methods For Financial Markets

Author : Tze Leung Lai
ISBN : 9780387778273
Genre : Business & Economics
File Size : 75.57 MB
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The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.
Category: Business & Economics

Financial Statistics And Mathematical Finance

Author : Ansgar Steland
ISBN : 9781118316566
Genre : Business & Economics
File Size : 85.4 MB
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Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in finance and illustrates some of the many ways that statistical tools are used in financial applications. Financial Statistics and Mathematical Finance: Provides an introduction to the basics of financial statistics and mathematical finance. Explains the use and importance of statistical methods in econometrics and financial engineering. Illustrates the importance of derivatives and calculus to aid understanding in methods and results. Looks at advanced topics such as martingale theory, stochastic processes and stochastic integration. Features examples throughout to illustrate applications in mathematical and statistical finance. Is supported by an accompanying website featuring R code and data sets. Financial Statistics and Mathematical Finance introduces the financial methodology and the relevant mathematical tools in a style that is both mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, both graduate students and researchers in statistics, finance, econometrics and business administration will benefit from this book.
Category: Business & Economics

Quantitative Trading

Author : Xin Guo
ISBN : 9781315354354
Genre : Business & Economics
File Size : 39.63 MB
Format : PDF, Kindle
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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.
Category: Business & Economics

2008

Author : George Soros
ISBN : 9601418350
Genre : Credit
File Size : 72.83 MB
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Translation of 'The economic crisis of 2008 and the importance of". The author explores the origins of the major credit crisis and its future implications on each country and the world economy.
Category: Credit

Amstat News

Author :
ISBN : UOM:39015072629432
Genre : Statistics
File Size : 63.74 MB
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Category: Statistics

The Statistical Mechanics Of Financial Markets

Author : Johannes Voit
ISBN : 3540262857
Genre : Business & Economics
File Size : 39.60 MB
Format : PDF
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This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.
Category: Business & Economics

Statistics And Data Analysis For Financial Engineering

Author : David Ruppert
ISBN : 9781493926145
Genre : Business & Economics
File Size : 89.12 MB
Format : PDF
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The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.
Category: Business & Economics

Statistics And Finance

Author : David Ruppert
ISBN : 9781441968760
Genre : Business & Economics
File Size : 85.98 MB
Format : PDF, Kindle
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This book emphasizes the applications of statistics and probability to finance. The basics of these subjects are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance and it introduces the newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book will serve as a text in courses aimed at advanced undergraduates and masters students. Those in the finance industry can use it for self-study.
Category: Business & Economics

Statistics Of Financial Markets

Author : Jürgen Franke
ISBN : 9783540762690
Genre : Business & Economics
File Size : 70.26 MB
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Readers will find that, refreshingly, this text presents in a vivid yet concise style the necessary statistical and mathematical background for financial engineers. The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic. For the second edition the book has been updated and extensively revised. Several new topics have been included, such as a chapter on credit risk management.
Category: Business & Economics