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:   In stock   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:   In stock   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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