Optimal Mean Reversion Trading Mathematical Analysis And Practical Applications
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| Author | : Tim Leung (Professor of industrial engineering) |
| Publisher | : World Scientific |
| Total Pages | : 221 |
| Release | : 2015-11-26 |
| Genre | : Business & Economics |
| ISBN | : 9814725927 |
"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--
| Author | : Tim Siu-tang Leung |
| Publisher | : World Scientific |
| Total Pages | : 221 |
| Release | : 2015-11-26 |
| Genre | : Business & Economics |
| ISBN | : 9814725935 |
Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives.This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.
| Author | : Ganapathy Vidyamurthy |
| Publisher | : John Wiley & Sons |
| Total Pages | : 295 |
| Release | : 2011-02-02 |
| Genre | : Business & Economics |
| ISBN | : 111804570X |
The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
| Author | : Andrew Pole |
| Publisher | : John Wiley & Sons |
| Total Pages | : 230 |
| Release | : 2011-07-07 |
| Genre | : Business & Economics |
| ISBN | : 1118160738 |
While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
| Author | : Jacob Benesty |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 236 |
| Release | : 2009-04-28 |
| Genre | : Technology & Engineering |
| ISBN | : 364200296X |
Noise is everywhere and in most applications that are related to audio and speech, such as human-machine interfaces, hands-free communications, voice over IP (VoIP), hearing aids, teleconferencing/telepresence/telecollaboration systems, and so many others, the signal of interest (usually speech) that is picked up by a microphone is generally contaminated by noise. As a result, the microphone signal has to be cleaned up with digital signal processing tools before it is stored, analyzed, transmitted, or played out. This cleaning process is often called noise reduction and this topic has attracted a considerable amount of research and engineering attention for several decades. One of the objectives of this book is to present in a common framework an overview of the state of the art of noise reduction algorithms in the single-channel (one microphone) case. The focus is on the most useful approaches, i.e., filtering techniques (in different domains) and spectral enhancement methods. The other objective of Noise Reduction in Speech Processing is to derive all these well-known techniques in a rigorous way and prove many fundamental and intuitive results often taken for granted. This book is especially written for graduate students and research engineers who work on noise reduction for speech and audio applications and want to understand the subtle mechanisms behind each approach. Many new and interesting concepts are presented in this text that we hope the readers will find useful and inspiring.
| Author | : Anatoly B. Schmidt |
| Publisher | : John Wiley & Sons |
| Total Pages | : 195 |
| Release | : 2011-07-05 |
| Genre | : Business & Economics |
| ISBN | : 1118093658 |
An informative guide to market microstructure and trading strategies Over the last decade, the financial landscape has undergone a significant transformation, shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book. Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies. Details the modern financial markets for equities, foreign exchange, and fixed income Addresses the basics of market dynamics, including statistical distributions and volatility of returns Offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies Includes two appendices that support the main material in the book If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.
| Author | : Manfred Krifka |
| Publisher | : Walter de Gruyter |
| Total Pages | : 476 |
| Release | : 2012-08-31 |
| Genre | : Language Arts & Disciplines |
| ISBN | : 311026160X |
Information structure deals with the linguistic forms and techniques that support the integration of what is said into the current informational and attentional state of the addressee. This shows in categories like topic-comment structuring, focus to highlight expressions, marking of givenness and of presupposed information, and ways to indicate that the information provided is restricted. The book relates infor-mation structure to theoretical models of grammar, to computation and modelling and brings together what is known about the expression of information structure in human language with regard to its empirical investigation, its psycholinguistic aspects and the acquisition of information structure. Since the need to integrate what is said into the informational and attentional state of the addressee is central to all human communication, it is not surprising that all natural languages have developed devices to express information structural cate-gories. To illustrate this, the book also provides concrete and theory independent descriptions of the information structural encoding strategies of individual languages of different types . The book can be used as a textbook appropriate for advanced undergraduate and graduate courses; it also provides information for linguists that are not specialists in the field.
| Author | : Rebekah Dowd |
| Publisher | : Springer Nature |
| Total Pages | : 284 |
| Release | : 2021-11-17 |
| Genre | : Political Science |
| ISBN | : 3030829693 |
This book considers contested responsibilities between the public and private sectors over the use of online data, detailing exactly how digital human rights evolved in specific European states and gradually became a part of the European Union framework of legal protections. The author uniquely examines why and how European lawmakers linked digital data protection to fundamental human rights, something heretofore not explained in other works on general data governance and data privacy. In particular, this work examines the utilization of national and European Union institutional arrangements as a location for activism by legal and academic consultants and by first-mover states who legislated digital human rights beginning in the 1970s. By tracing the way that EU Member States and non-state actors utilized the structure of EU bodies to create the new norm of digital human rights, readers will learn about the process of expanding the scope of human rights protections within multiple dimensions of European political space. The project will be informative to scholar, student, and layperson, as it examines a new and evolving area of technology governance – the human rights of digital data use by the public and private sectors.
| Author | : Daniel Wallach |
| Publisher | : Academic Press |
| Total Pages | : 504 |
| Release | : 2013-11-25 |
| Genre | : Business & Economics |
| ISBN | : 0444594469 |
This second edition of Working with Dynamic Crop Models is meant for self-learning by researchers or for use in graduate level courses devoted to methods for working with dynamic models in crop, agricultural, and related sciences. Each chapter focuses on a particular topic and includes an introduction, a detailed explanation of the available methods, applications of the methods to one or two simple models that are followed throughout the book, real-life examples of the methods from literature, and finally a section detailing implementation of the methods using the R programming language. The consistent use of R makes this book immediately and directly applicable to scientists seeking to develop models quickly and effectively, and the selected examples ensure broad appeal to scientists in various disciplines. - 50% new content – 100% reviewed and updated - Clearly explains practical application of the methods presented, including R language examples - Presents real-life examples of core crop modeling methods, and ones that are translatable to dynamic system models in other fields
| Author | : Norsidah Ujang |
| Publisher | : Springer Nature |
| Total Pages | : 268 |
| Release | : 2021-08-18 |
| Genre | : Science |
| ISBN | : 3030635678 |
This book focuses on the ways in which resiliency can foster the transformation of cities. There is a growing need for our cities to be transformed into “smart” cities; in this regard, tremendous efforts are called for in order to face the environmental challenges that play a major role in the creation or transformation of cities and environments. This book covers a broad range of applications and approaches that are “smart” and “resilient,” which, when combined, offer much more flexibility concerning the future of our cities. Consequently, this simple combination, which is producing sweeping changes around the globe, has attracted considerable attention from scholars and decision-makers alike.
