Subscription
0
Best Sellers
New Releases
Books
Videos
Audiobooks
Learning Hub
Free Learning

# Mastering R for Quantitative Finance: Use R to optimize your trading strategy and build up your own risk management system

\$43.99 \$29.99
Book Mar 2015 362 pages 1st Edition
eBook
\$43.99 \$29.99
Print
\$54.99
Subscription
\$15.99 Monthly
eBook
\$43.99 \$29.99
Print
\$54.99
Subscription
\$15.99 Monthly

## What do you get with eBook?

DRM FREE - Read whenever, wherever and however you want

## Chapter 1. Time Series Analysis

In this chapter, we consider some advanced time series methods and their implementation using R. Time series analysis, as a discipline, is broad enough to fill hundreds of books (the most important references, both in theory and R programming, will be listed at the end of this chapter's reading list); hence, the scope of this chapter is necessarily highly selective, and we focus on topics that are inevitably important in empirical finance and quantitative trading. It should be emphasized at the beginning, however, that this chapter only sets the stage for further studies in time series analysis.

Our previous book Introduction to R for Quantitative Finance, Packt Publishing, discusses some fundamental topics of time series analysis such as linear, univariate time series modeling, Autoregressive integrated moving average (ARIMA), and volatility modeling Generalized Autoregressive Conditional Heteroskedasticity (GARCH). If you have never worked with R for time series analysis, you might want to consider going through Chapter 1, Time Series Analysis of that book as well.

The current edition goes further in all of these topics and you will become familiar with some important concepts such as cointegration, vector autoregressive models, impulse-response functions, volatility modeling with asymmetric GARCH models including exponential GARCH and Threshold GARCH models, and news impact curves. We first introduce the relevant theories, then provide some practical insights to multivariate time series modeling, and describe several useful R packages and functionalities. In addition, using simple and illustrative examples, we give a step-by-step introduction to the usage of R programming language for empirical analysis.

## What you will learn

Analyze high frequency financial data Build, calibrate, test, and implement theoretical models such as cointegration, VAR, GARCH, APT, BlackScholes, Margrabe, logoptimal portfolios, coreperiphery, and contagion Solve practical, realworld financial problems in R related to big data, discrete hedging, transaction costs, and more. Discover simulation techniques and apply them to situations where analytical formulas are not available Create a winning arbitrage, speculation, or hedging strategy customized to your risk preferences Understand relationships between market factors and their impact on your portfolio Assess the tradeoff between accuracy and the cost of your trading strategy

## Product Details

Publication date : Mar 10, 2015
Length 362 pages
Edition : 1st Edition
Language : English
ISBN-13 : 9781783552078
Category :
Languages :
Concepts :
Tools :

## What do you get with eBook?

DRM FREE - Read whenever, wherever and however you want

## Product Details

Publication date : Mar 10, 2015
Length 362 pages
Edition : 1st Edition
Language : English
ISBN-13 : 9781783552078
Category :
Languages :
Concepts :
Tools :

20 Chapters
Mastering R for Quantitative Finance
Credits
www.PacktPub.com
Preface
1. Time Series Analysis
2. Factor Models
3. Forecasting Volume
4. Big Data – Advanced Analytics
5. FX Derivatives
6. Interest Rate Derivatives and Models
7. Exotic Options
8. Optimal Hedging
9. Fundamental Analysis
10. Technical Analysis, Neural Networks, and Logoptimal Portfolios
11. Asset and Liability Management
13. Systemic Risks
Index

## Customer reviews

Rating distribution
0
(0 Ratings)
5 star 0%
4 star 0%
3 star 0%
2 star 0%
1 star 0%
No reviews found
Get free access to Packt library with over 7500+ books and video courses for 7 days!

## FAQs

Please Note: Packt eBooks are non-returnable and non-refundable.

Packt eBook and Licensing When you buy an eBook from Packt Publishing, completing your purchase means you accept the terms of our licence agreement. Please read the full text of the agreement. In it we have tried to balance the need for the ebook to be usable for you the reader with our needs to protect the rights of us as Publishers and of our authors. In summary, the agreement says:

• You may make copies of your eBook for your own use onto any machine
• You may not pass copies of the eBook on to anyone else
How can I make a purchase on your website?

If you want to purchase a video course, eBook or Bundle (Print+eBook) please follow below steps:

2. Search for the title by name or ISBN using the search option.
3. Select the title you want to purchase.
4. Choose the format you wish to purchase the title in; if you order the Print Book, you get a free eBook copy of the same title.
5. Proceed with the checkout process (payment to be made using Credit Card, Debit Cart, or PayPal)
Where can I access support around an eBook?
• To view the errata for the book, see www.packtpub.com/support and view the pages for the title you have.
• To view your account details or to download a new copy of the book go to www.packtpub.com/account
• To contact us directly if a problem is not resolved, use www.packtpub.com/contact-us
What eBook formats do Packt support?

Our eBooks are currently available in a variety of formats such as PDF and ePubs. In the future, this may well change with trends and development in technology, but please note that our PDFs are not Adobe eBook Reader format, which has greater restrictions on security.

You will need to use Adobe Reader v9 or later in order to read Packt's PDF eBooks.

What are the benefits of eBooks?
• You can get the information you need immediately
• You can easily take them with you on a laptop