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Learning Quantitative Finance with R

You're reading from Learning Quantitative Finance with R

Product type Book

Published in Mar 2017

Publisher Packt

ISBN-13 9781786462411

Pages 284 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Authors (2):

Dr. Param Jeet

PRASHANT VATS

View More author details

Table of Contents (16) Chapters

Learning Quantitative Finance with R

Credits

About the Authors

About the Reviewer

www.PacktPub.com

Customer Feedback

Preface

1. Introduction to R

2. Statistical Modeling

3. Econometric and Wavelet Analysis

4. Time Series Modeling

5. Algorithmic Trading

6. Trading Using Machine Learning

7. Risk Management

8. Optimization

9. Derivative Pricing

Market risk

The risk for an investor to encounter losses due to changes in overall performance of the market in which he has invested, is known as market risk. Market risk is a kind of systematic risk which cannot be tackled with diversification. It may be hedged. The risks happening due to recessions, political instability, interest rate changes, natural disasters, and terrorist attacks are examples of market risks. Market risks are measured differently for banks, individual stocks, portfolios, and so on.

Let us consider how market risks are measured for individual securities. The market risk of a stock which is a part of a portfolio is measured as the contribution of a security in the overall risk of the portfolio. The individual stock risk is measured by the beta coefficient, which is the volatility of stock with respect to the market.

Let us run regression analysis on stock IBM as dependent variable and GPSC index as the independent variable and try to estimate the beta. It can be done...

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Authors (2)

Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.

See other products by Dr. Param Jeet

PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.

See other products by PRASHANT VATS

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