Financial Analytics with R: Building a Laptop Laboratory for Data Science
Author:   Mark J. Bennett (University of Chicago) ,  Dirk L. Hugen (University of Iowa)
Publisher:   Cambridge University Press
ISBN:  

9781107150751


Pages:   392
Publication Date:   06 October 2016
Format:   Hardback
Availability:   Available To Order   Availability explained
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Financial Analytics with R: Building a Laptop Laboratory for Data Science


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Author:   Mark J. Bennett (University of Chicago) ,  Dirk L. Hugen (University of Iowa)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press
Dimensions:   Width: 18.00cm , Height: 2.20cm , Length: 25.40cm
Weight:   0.920kg
ISBN:  

9781107150751


ISBN 10:   1107150752
Pages:   392
Publication Date:   06 October 2016
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Preface; Acknowledgements; 1. Analytical thinking; 2. The R language for statistical computing; 3. Financial statistics; 4. Financial securities; 5. Dataset analytics and risk measurement; 6. Time series analysis; 7. The Sharpe ratio; 8. Markowitz mean-variance optimization; 9. Cluster analysis; 10. Gauging the market sentiment; 11. Simulating trading strategies; 12. Data mining using fundamentals; 13. Prediction using fundamentals; 14. Binomial model for options; 15. Black–Scholes model and option implied volatility; Appendix. Probability distributions and statistical analysis; Index.

Reviews

A very well-written text on financial analytics, focusing on developing statistical models and using simulation to better understand financial data. R is used throughout for examples, allowing the reader to use the text and code to actively engage in the financial market. It is simply the best text on this subject that I have seen. Highly recommended. Joseph M. Hilbe, Arizona State University


Author Information

Mark J. Bennett is a senior data scientist with a major investment bank and a lecturer in the University of Chicago's Master's program in analytics. He has held software positions at Argonne National Laboratory, Unisys Corporation, AT&T Bell Laboratories, Northrop Grumman, and XR Trading Securities. Dirk L. Hugen is a graduate student in the Department of Statistics and Actuarial Science at the University of Iowa. He previously worked as a signal processing engineer.

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