Research Catalog

Title

Quantitative trading with R : understanding mathematical and computational tools from a quant's perspective / Harry Georgakopoulos.

Author

Georgakopoulos, Harry.

Publication

New York, NY : Palgrave Macmillan, 2015.

Items in the Library & Off-site

Holdings

Details

Description

xiii, 272 pages : illustrations; 25 cm

Summary

"Quantitative Trading with R offers readers a winning strategy for devising expertly-crafted and workable trading models using the R open-source programming language. Based on the author's own experience as a professor and high-frequency trader, this book provides a step-by-step approach to understanding complex quantitative finance problems and building functional computer code. This is an introductory work for students, researchers, and practitioners interested in applying statistical-programming, mathematical, and financial concepts to the creation and analysis of simple and practical trading strategies. No prior programming knowledge is assumed on the part of the reader. Georgakopoulos outlines basic trading concepts and walks the reader through the necessary math, data analysis, finance, and programming concepts necessary to successfully implement a strategy. Multiple examples are included throughout the work containing useful computer code that can be applied directly to real-world trading models. Individual case studies are split up into smaller modules for impact and retention. Chapters contain a balanced mix of mathematics, finance, and programming theory, and cover such topics as linear algebra, matrix manipulations, statistics, data analysis, and programming constructs. Upon completion of the book, readers will know how to research, analyze, backtest, and code up a successful trading strategy. "--

Subject

• Stocks > Mathematical models
• Investment analysis > Mathematical models
• Corporations > Computer programs
• Commodity exchanges
• BUSINESS & ECONOMICS / Corporate Finance
• BUSINESS & ECONOMICS / Finance
• BUSINESS & ECONOMICS / Foreign Exchange

Bibliography (note)

• Includes bibliographical references and index.

Contents

1. An Overview -- 2. Tools of the Trade -- 3. Working with Data -- 4. Basic Statistics and Probability -- 5. Intermediate Statistics and Probability -- 6. Spreads, Betas and Risk -- 7. Backtesting with Quantstrat -- 8. High-Frequency Data -- 9. Options -- 10. Optimization -- 11. Speed, Testing, and Reporting.

ISBN

• 9781137354075 (hardback)
• 1137354070 ()

LCCN

• 2014028408
• 99962095979
• 40024588498

OCLC

• ocn885228590
• 885228590
• SCSB-5790057

Owning Institutions

Columbia University Libraries