The Resource A primer for financial engineering : financial signal processing and electronic trading, Ali N. Akansu and Mustafa U. Torun

A primer for financial engineering : financial signal processing and electronic trading, Ali N. Akansu and Mustafa U. Torun

Label
A primer for financial engineering : financial signal processing and electronic trading
Title
A primer for financial engineering
Title remainder
financial signal processing and electronic trading
Statement of responsibility
Ali N. Akansu and Mustafa U. Torun
Creator
Contributor
Author
Subject
Language
eng
Cataloging source
E7B
Dewey number
332.01511352
Illustrations
illustrations
Index
no index present
LC call number
HG176.7
LC item number
.A336 2015eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Label
A primer for financial engineering : financial signal processing and electronic trading, Ali N. Akansu and Mustafa U. Torun
Publication
Copyright
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type MARC source
rdacontent
Contents
  • Front Cover; A Primer for Financial Engineering: Financial Signal Processing and Electronic Trading; Copyright; Dedication; Contents; Preface; Chapter 1: Introduction; 1.1 Disclaimer; Chapter 2: Financial Markets and Instruments; 2.1 Structure of the Markets; 2.2 Financial Instruments; 2.2.1 Stocks; 2.2.2 Options; 2.2.3 Futures Contracts; 2.2.4 Exchange Traded Funds (ETFs); 2.2.5 Currency Pairs; 2.2.6 Fixed Income Securities; 2.3 Summary; Chapter 3: Fundamentals of Quantitative Finance; 3.1 Stock Price Models; 3.1.1 Geometric Brownian Motion Model
  • 3.1.2 Models with Local and Stochastic Volatilities3.1.3 Discrete-Time Price Models and Return; 3.2 Asset Returns; 3.2.1 Expected Return, Volatility, and Cross-Correlation of Returns; 3.2.2 Effect of Sampling Frequency on Volatility; 3.2.3 Jumps in the Returns; 3.3 Modern Portfolio Theory; 3.3.1 Portfolio Return and Risk; 3.3.1.1 Two-Asset Portfolio; 3.3.1.2 Multi-asset Portfolio; 3.3.2 Portfolio Optimization; 3.4 Capital Asset Pricing Model; 3.4.1 Capital Market Line; 3.4.2 Market Portfolio; 3.4.3 Beta of an Asset; 3.4.4 Volatility in CAPM; 3.4.5 Expected Return in CAPM
  • 3.4.6 Security Market Line3.5 Relative Value and Factor Models; 3.5.1 Two Assets; 3.5.2 Multiple Assets; 3.5.3 Factor Models; 3.5.4 Eigenportfolios; 3.6 Summary; Chapter 4: Trading Strategies; 4.1 Trading Terminology; 4.2 Long and Short Positions; 4.3 Cost of Trading; 4.4 Backtesting; 4.4.1 Profit and Loss of a Trading Strategy; 4.4.2 Performance Measures; 4.4.3 Backtesting a Trading Strategy; 4.4.4 Leverage; 4.5 Pairs Trading and Mean Reversion; 4.5.1 Model Based Pairs Trading; 4.5.2 Market Neutrality; 4.5.3 A Recipe for Pairs Trading; 4.6 Statistical Arbitrage
  • 4.6.1 A Recipe for Statistical Arbitrage4.7 Trend Following; 4.7.1 Moving Averages; 4.7.2 Signal Generation Methods for Trend Following; 4.7.3 Moving Averages as Discrete-Time Filters; 4.7.4 A Recipe for Trend Following; 4.8 Trading in Multiple Frequencies; 4.9 Summary; Chapter 5: Risk Estimation and Management; 5.1 Eigenfiltering of Noise in Empirical Correlation Matrix; 5.1.1 Asymptotic Eigenvalue Distribution of a Random Matrix; 5.1.2 Noise in the Empirical Correlation Matrix; 5.1.3 Eigenfiltering of Built-in Market Noise
  • 5.1.4 Estimation of Portfolio Risk in Statistical Arbitrage and Eigenfiltering of Market Noise5.2 Risk Estimation for Trading in MultipleFrequencies; 5.3 Fast Eigenfiltering for Risk Estimation; 5.3.1 AR(1) Signal Model; 5.3.2 Motivation; 5.3.3 AR(1) Approximation to Empirical Correlation Matrix; 5.3.4 Portfolio Risk Estimation with Toeplitz Approximation to Empirical Correlation Matrix; 5.3.5 Noise Filtering with Discrete Cosine Transform; 5.4 Portfolio Risk Management; 5.4.1 Stay in the Ellipsoid Method; 5.4.2 Stay on the Ellipsoid Method; 5.4.3 Stay Around the Ellipsoid Method
Control code
ocn908047521
Dimensions
unknown
Extent
1 online resource (155 pages)
Form of item
online
Isbn
9780128015612
Media category
computer
Media MARC source
rdamedia
Other physical details
illustrations, graphs
http://library.link/vocab/ext/overdrive/overdriveId
5e2dc6bf-9bd0-4da0-b6de-9bee0d6d48c5
http://library.link/vocab/recordID
.b34484668
Specific material designation
remote
System control number
  • (OCoLC)908047521
  • ebl0128017503

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
Processing Feedback ...