Statistics and Data Analysis for Financial Engineering

Author: David Ruppert
Publisher: Springer
ISBN: 1493926144
Format: PDF, ePub, Docs
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The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

Statistical Analysis of Financial Data in R

Author: René Carmona
Publisher: Springer Science & Business Media
ISBN: 1461487889
Format: PDF, ePub
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Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This textbook fills this gap by addressing some of the most challenging issues facing financial engineers. It shows how sophisticated mathematics and modern statistical techniques can be used in the solutions of concrete financial problems. Concerns of risk management are addressed by the study of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Principal component analysis (PCA), smoothing, and regression techniques are applied to the construction of yield and forward curves. Time series analysis is applied to the study of temperature options and nonparametric estimation. Nonlinear filtering is applied to Monte Carlo simulations, option pricing and earnings prediction. This textbook is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. It is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the R computing environment. They illustrate problems occurring in the commodity, energy and weather markets, as well as the fixed income, equity and credit markets. The examples, experiments and problem sets are based on the library Rsafd developed for the purpose of the text. The book should help quantitative analysts learn and implement advanced statistical concepts. Also, it will be valuable for researchers wishing to gain experience with financial data, implement and test mathematical theories, and address practical issues that are often ignored or underestimated in academic curricula. This is the new, fully-revised edition to the book Statistical Analysis of Financial Data in S-Plus. René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

Financial Analytics with R

Author: Mark J. Bennett
Publisher: Cambridge University Press
ISBN: 1316776751
Format: PDF, ePub, Mobi
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Are you innately curious about dynamically inter-operating financial markets? Since the crisis of 2008, there is a need for professionals with more understanding about statistics and data analysis, who can discuss the various risk metrics, particularly those involving extreme events. By providing a resource for training students and professionals in basic and sophisticated analytics, this book meets that need. It offers both the intuition and basic vocabulary as a step towards the financial, statistical, and algorithmic knowledge required to resolve the industry problems, and it depicts a systematic way of developing analytical programs for finance in the statistical language R. Build a hands-on laboratory and run many simulations. Explore the analytical fringes of investments and risk management. Bennett and Hugen help profit-seeking investors and data science students sharpen their skills in many areas, including time-series, forecasting, portfolio selection, covariance clustering, prediction, and derivative securities.

Financial Signal Processing and Machine Learning

Author: Ali N. Akansu
Publisher: John Wiley & Sons
ISBN: 1118745639
Format: PDF, Kindle
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The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.

Statistical Analysis of Financial Data in S Plus

Author: René Carmona
Publisher: Springer Science & Business Media
ISBN: 9780387202860
Format: PDF, Mobi
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This book develops the use of statistical data analysis in finance, and it uses the statistical software environment of S-PLUS as a vehicle for presenting practical implementations from financial engineering. It is divided into three parts. Part I, Exploratory Data Analysis, reviews the most commonly used methods of statistical data exploration. Its originality lies in the introduction of tools for the estimation and simulation of heavy tail distributions and copulas, the computation of measures of risk, and the principal component analysis of yield curves. Part II, Regression, introduces modern regression concepts with an emphasis on robustness and non-parametric techniques. The applications include the term structure of interest rates, the construction of commodity forward curves, and nonparametric alternatives to the Black Scholes option pricing paradigm. Part III, Time Series and State Space Models, is concerned with theories of time series and of state space models. Linear ARIMA models are applied to the analysis of weather derivatives, Kalman filtering is applied to public company earnings prediction, and nonlinear GARCH models and nonlinear filtering are applied to stochastic volatility models. The book is aimed at undergraduate students in financial engineering, master students in finance and MBA's, and to practitioners with financial data analysis concerns.

Applied Bayesian Statistics

Author: Mary Kathryn Cowles
Publisher: Springer Science & Business Media
ISBN: 1461456967
Format: PDF, Mobi
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This book is based on over a dozen years teaching a Bayesian Statistics course. The material presented here has been used by students of different levels and disciplines, including advanced undergraduates studying Mathematics and Statistics and students in graduate programs in Statistics, Biostatistics, Engineering, Economics, Marketing, Pharmacy, and Psychology. The goal of the book is to impart the basics of designing and carrying out Bayesian analyses, and interpreting and communicating the results. In addition, readers will learn to use the predominant software for Bayesian model-fitting, R and OpenBUGS. The practical approach this book takes will help students of all levels to build understanding of the concepts and procedures required to answer real questions by performing Bayesian analysis of real data. Topics covered include comparing and contrasting Bayesian and classical methods, specifying hierarchical models, and assessing Markov chain Monte Carlo output. Kate Cowles taught Suzuki piano for many years before going to graduate school in Biostatistics. Her research areas are Bayesian and computational statistics, with application to environmental science. She is on the faculty of Statistics at The University of Iowa.

Modern Multivariate Statistical Techniques

Author: Alan J. Izenman
Publisher: Springer Science & Business Media
ISBN: 9780387781891
Format: PDF, Mobi
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This is the first book on multivariate analysis to look at large data sets which describes the state of the art in analyzing such data. Material such as database management systems is included that has never appeared in statistics books before.

Guide to Intelligent Data Analysis

Author: Michael R. Berthold
Publisher: Springer Science & Business Media
ISBN: 184882260X
Format: PDF, Kindle
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Each passing year bears witness to the development of ever more powerful computers, increasingly fast and cheap storage media, and even higher bandwidth data connections. This makes it easy to believe that we can now – at least in principle – solve any problem we are faced with so long as we only have enough data. Yet this is not the case. Although large databases allow us to retrieve many different single pieces of information and to compute simple aggregations, general patterns and regularities often go undetected. Furthermore, it is exactly these patterns, regularities and trends that are often most valuable. To avoid the danger of “drowning in information, but starving for knowledge” the branch of research known as data analysis has emerged, and a considerable number of methods and software tools have been developed. However, it is not these tools alone but the intelligent application of human intuition in combination with computational power, of sound background knowledge with computer-aided modeling, and of critical reflection with convenient automatic model construction, that results in successful intelligent data analysis projects. Guide to Intelligent Data Analysis provides a hands-on instructional approach to many basic data analysis techniques, and explains how these are used to solve data analysis problems. Topics and features: guides the reader through the process of data analysis, following the interdependent steps of project understanding, data understanding, data preparation, modeling, and deployment and monitoring; equips the reader with the necessary information in order to obtain hands-on experience of the topics under discussion; provides a review of the basics of classical statistics that support and justify many data analysis methods, and a glossary of statistical terms; includes numerous examples using R and KNIME, together with appendices introducing the open source software; integrates illustrations and case-study-style examples to support pedagogical exposition. This practical and systematic textbook/reference for graduate and advanced undergraduate students is also essential reading for all professionals who face data analysis problems. Moreover, it is a book to be used following one’s exploration of it. Dr. Michael R. Berthold is Nycomed-Professor of Bioinformatics and Information Mining at the University of Konstanz, Germany. Dr. Christian Borgelt is Principal Researcher at the Intelligent Data Analysis and Graphical Models Research Unit of the European Centre for Soft Computing, Spain. Dr. Frank Höppner is Professor of Information Systems at Ostfalia University of Applied Sciences, Germany. Dr. Frank Klawonn is a Professor in the Department of Computer Science and Head of the Data Analysis and Pattern Recognition Laboratory at Ostfalia University of Applied Sciences, Germany. He is also Head of the Bioinformatics and Statistics group at the Helmholtz Centre for Infection Research, Braunschweig, Germany.

Statistical Methods for Quality Assurance

Author: Stephen B. Vardeman
Publisher: Springer
ISBN: 038779106X
Format: PDF, Kindle
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This undergraduate statistical quality assurance textbook clearly shows with real projects, cases and data sets how statistical quality control tools are used in practice. Among the topics covered is a practical evaluation of measurement effectiveness for both continuous and discrete data. Gauge Reproducibility and Repeatability methodology (including confidence intervals for Repeatability, Reproducibility and the Gauge Capability Ratio) is thoroughly developed. Process capability indices and corresponding confidence intervals are also explained. In addition to process monitoring techniques, experimental design and analysis for process improvement are carefully presented. Factorial and Fractional Factorial arrangements of treatments and Response Surface methods are covered. Integrated throughout the book are rich sets of examples and problems that help readers gain a better understanding of where and how to apply statistical quality control tools. These large and realistic problem sets in combination with the streamlined approach of the text and extensive supporting material facilitate reader understanding. Second Edition Improvements Extensive coverage of measurement quality evaluation (in addition to ANOVA Gauge R&R methodologies) New end-of-section exercises and revised-end-of-chapter exercises Two full sets of slides, one with audio to assist student preparation outside-of-class and another appropriate for professors’ lectures Substantial supporting material Supporting Material Seven R programs that support variables and attributes control chart construction and analyses, Gauge R&R methods, analyses of Fractional Factorial studies, Propagation of Error analyses and Response Surface analyses Documentation for the R programs Excel data files associated with the end-of-chapter problem sets, most from real engineering settings