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Applied Quantitative Methods for Trading and Investment
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交易投资中的数量方法,是数量金融经典书籍。英文版 Edited by Christian L. Dunis,Jason Laws and Patrick Na¨ım 部分目录: 1 Applications of Advanced Regression Analysis for Trading and Investment 1 2 Using Cointegration to Hedge and Trade International Equities 41 ..................................................... 9 Portfolio Analysis Using Excel 293 10 Applied Volatility and Correlation Modelling Using Excel 313 11 Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results 333 References 347 12 Portfolio Management and Information from Over-the-Counter Currency Options 349 13 Filling Analysis for Missing Data: An Application to Weather Risk Management 381
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Applied Quantitative Methods
for Trading and Investment
Applied Quantitative Methods for Trading and Investment. Edited by C.L. Dunis, J. Laws and P. Na
¨
ım
2003 John Wiley & Sons, Ltd ISBN: 0-470-84885-5
Wiley Finance Series
Applied Quantitative Methods for Trading and Investment
Christian L. Dunis, Jason Laws and Patrick Na
¨
ım
Country Risk Assessment: A Guide to Global Investment Strategy
Michel Henry Bouchet, Ephraim Clark and Bertrand Groslambert
Credit Derivatives Pricing Models: Models, Pricing and Implementation
Philipp J. Sch
¨
onbucher
Hedge Funds: A resource for investors
Simone Borla
The Simple Rules: Revisiting the art of financial risk management
Erik Banks
Option Theory
Peter James
Risk-adjusted Lending Conditions
Werner Rosenberger
Measuring Market Risk
Kevin Dowd
An Introduction to Market Risk Management
Kevin Dowd
Behavioural Finance
James Montier
Asset Management: Equities Demystified
Shanta Acharya
An Introduction to Capital Markets: Products, Strategies, Participants
Andrew M. Chisholm
Hedge Funds: Myths and Limits
Francois-Serge Lhabitant
The Manager’s Concise Guide to Risk
Jihad S. Nader
Securities Operations: A guide to trade and position management
Michael Simmons
Modeling, Measuring and Hedging Operational Risk
Marcelo Cruz
Monte Carlo Methods in Finance
Peter J
¨
ackel
Building and Using Dynamic Interest Rate Models
Ken Kortanek and Vladimir Medvedev
Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes
Harry Kat
Advanced Modelling in Finance Using Excel and VBA
Mary Jackson and Mike Staunton
Operational Risk: Measurement and Modelling
Jack King
Interest Rate Modelling
Jessica James and Nick Webber
Applied Quantitative Methods
for Trading and Investment
Edited by
Christian L. Dunis
Jason Laws
and
Patrick Na
¨
ım
Copyright 2003 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester,
West Sussex PO19 8SQ, England
Telephone (+44) 1243 779777
Email (for orders and customer service enquiries): cs-books@wiley.co.uk
Visit our Home Page on www.wileyeurope.com or www.wiley.com
All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or
transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or
otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a
licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK,
without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the
Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19
8SQ, England, or emailed to permreq@wiley.co.uk, or faxed to (+44) 1243 770620.
This publication is designed to provide accurate and authoritative information in regard to the subject matter
covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If
professional advice or other expert assistance is required, the services of a competent professional should be
sought.
Other Wiley Editorial Offices
John Wiley & Sons Inc., 111 River Street, Hoboken, NJ 07030, USA
Jossey-Bass, 989 Market Street, San Francisco, CA 94103-1741, USA
Wiley-VCH Verlag GmbH, Boschstr. 12, D-69469 Weinheim, Germany
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John Wiley & Sons Canada Ltd, 22 Worcester Road, Etobicoke, Ontario, Canada M9W 1L1
Wiley also publishes its books in a variety of electronic formats. Some content that appears
in print may not be available in electronic books.
Library of Congress Cataloging-in-Publication Data
Applied quantitative methods for trading and investment / edited by Christian Dunis, Jason
Laws, and Patrick Na
¨
ım
p. cm. — (Wiley finance series)
Includes bibliographical references and index.
ISBN 0-470-84885-5 (cased : alk. paper)
1. Finance—Mathematical models. 2. Investments—Mathematical models. 3.
Speculation—Mathematical models. I. Dunis, Christian. II. Laws, Jason. III. Na
¨
ım,
Patrick. IV. Series
HG106.A67 2003
332.6
01
5195—dc21
2003049721
British Library Cataloguing in Publication Data
A catalogue record for this book is available from the British Library
ISBN 0-470-84885-5
Typeset in 10/12pt Times by Laserwords Private Limited, Chennai, India
Printed and bound in Great Britain by TJ International, Padstow, Cornwall
This book is printed on acid-free paper responsibly manufactured from sustainable forestry
in which at least two trees are planted for each one used for paper production.
Contents
About the Contributors xi
Preface xv
1 Applications of Advanced Regression Analysis for Trading and
Investment 1
Christian L. Dunis and Mark Williams
Abstract 1
1.1 Introduction 1
1.2 Literature review 3
1.3 The exchange rate and related financial data 4
1.4 Benchmark models: theory and methodology 10
1.5 Neural network models: theory and methodology 20
1.6 Forecasting accuracy and trading simulation 31
1.7 Concluding remarks 36
References 39
2 Using Cointegration to Hedge and Trade International Equities 41
A. Neil Burgess
Abstract 41
2.1 Introduction 41
2.2 Time series modelling and cointegration 42
2.3 Implicit hedging of unknown common risk factors 45
2.4 Relative value and statistical arbitrage 47
2.5 Illustration of cointegration in a controlled simulation 50
2.6 Application to international equities 54
2.7 Discussion and conclusions 66
References 68
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