Download or read book Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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."--

Download or read book Optimal Mean Reversion Trading Mathematical Analysis And Practical Applications written by Tim Siu-tang Leung and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Optimal Mean Reversion Trading written by Tim Leung and published by . This book was released on 2019 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic study on the optimal timing of trades in markets with mean-reverting price dynamics. We present a financial engineering approach that distills the core mathematical questions from different trading problems, and also incorporates the practical aspects of trading, such as model estimation, risk premia, risk constraints, and transaction costs, into our analysis. Self-contained and organized, the book not only discusses the mathematical framework and analytical results for the financial problems, but also gives formulas and numerical tools for practical implementation. A wide array of real-world applications are discussed, such as pairs trading of exchange-traded funds, dynamic portfolio of futures on commodities or volatility indices, and liquidation of options or credit risk derivatives.A core element of our mathematical approach is the theory of optimal stopping. For a number of the trading problems discussed herein, the optimal strategies are represented by the solutions to the corresponding optimal single/multiple stopping problems. This also leads to the analytical and numerical studies of the associated variational inequalities or free boundary problems. We provide an overview of our methodology and chapter outlines in the Introduction.Our objective is to design the book so that it can be useful for doctoral and masters students, advanced undergraduates, and researchers in financial engineering/mathematics, especially those who specialize in algorithmic trading, or have interest in trading exchange-traded funds, commodities, volatility, and credit risk, and related derivatives. For practitioners, we provide formulas for instant strategy implementation, propose new trading strategies with mathematical justification, as well as quantitative enhancement for some existing heuristic trading strategies.

Download or read book Advances in Portfolio Construction and Implementation written by Alan Scowcroft and published by Elsevier. This book was released on 2003-06-25 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance. *Provides practical guidance on financial risk management*Covers the latest developments in investment portfolio construction*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

Download or read book Drug Design Strategies written by David J. Livingstone and published by Royal Society of Chemistry. This book was released on 2012 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together drug design practitioners, all leaders in their field, who are actively advancing the field of quantitative methods to guide drug discovery, from structure-based design to empirical statistical models - from rule-based approaches to toxicology to the fields of bioinformatics and systems biology. The aim of the book is to show how various facets of the drug discovery process can be addressed in a quantitative fashion (ie: numerical analysis to enable robust predictions to be made). Each chapter includes a brief review of the topic showing the historical development of.

Download or read book Globalization and the International Financial System written by Peter Isard and published by Cambridge University Press. This book was released on 2005 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic globalization has given rise to frequent and severe financial crises in emerging market economies. Other countries are also unsuccessful in their efforts to generate economic growth and reduce poverty. This book provides perspectives on various aspects of the international financial system that contribute to financial crises and growth failures, and discusses the remedies that economists have proposed for addressing the underlying problems. It also sheds light on a central feature of the international financial system that remains mysterious to many economists and most non-economists: the activities of the International Monetary Fund and the factors that influence its effectiveness. Dr Isard offers policy perspectives on what countries can do to reduce their vulnerabilities to financial crises and growth failures, and a number of general directions for systemic reform. The breadth of the agenda provides grounds for optimism that the international financial system can be strengthened considerably without revolutionary change.

Download or read book International Business and the Eclectic Paradigm written by John Cantwell and published by Routledge. This book was released on 2007-04-12 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The eclectic paradigm has arguably become the dominant theoretical basis in the study of FDI, multinational corporations and internationalisation over the last two decades. The contributions to this volume evaluate the eclectic paradigm in the global economy and its validity as a theoretical basis to understand developments such as economic globalization and the subsequent growth of global and alliance capitalism.

Download or read book Beyond Bias and Barriers written by Institute of Medicine and published by National Academies Press. This book was released on 2007-05-04 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: The United States economy relies on the productivity, entrepreneurship, and creativity of its people. To maintain its scientific and engineering leadership amid increasing economic and educational globalization, the United States must aggressively pursue the innovative capacity of all its people—women and men. However, women face barriers to success in every field of science and engineering; obstacles that deprive the country of an important source of talent. Without a transformation of academic institutions to tackle such barriers, the future vitality of the U.S. research base and economy are in jeopardy. Beyond Bias and Barriers explains that eliminating gender bias in academia requires immediate overarching reform, including decisive action by university administrators, professional societies, federal funding agencies and foundations, government agencies, and Congress. If implemented and coordinated across public, private, and government sectors, the recommended actions will help to improve workplace environments for all employees while strengthening the foundations of America's competitiveness.

Download or read book Banking on Innovation written by Tanai Khiaonarong and published by Springer Science & Business Media. This book was released on 2009-06-01 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Innovation in banking should be directed at improving the infrastructure that fosters efficient financial services and international trade. In this work, innovation theory is used to show how modern payment systems have transformed the technology of banking and facilitated changes in the strategy and structure of financial services organisations. Design, implementation and dissemination of payment systems are described and the analysis of their costs and benefits is combined with case studies of banks undergoing change. By studying firm capabilities, competencies, and resources, the approach is extended to services in general and linked to the ability of firms to compete and promote national economies. Payment systems vary and advanced and developing economies face obstacles in their legal and technical infrastructure, and maturity of banks. By adopting an international perspective, the book offers a unique comparative analysis that shows what kind of investments are likely to be effective.

Download or read book Data Sharing Using A Common Data Architecture written by Michael H. Brackett and published by Wiley. This book was released on 1994-03-28 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data Sharing Using a Common Data Architecture Wouldn’t it be a pleasure to know and understand all the data in your organization? Wouldn’t it be great to easily identify and readily share those data to develop information that supports business strategies? Wouldn’t it be wonderful to have a formal data resource that provides just-in-time data for developing just-in-time information to support just-in-time decision making? Data Sharing Using a Common Data Architecture shows you how by: Defining a common data architecture, its contents, and its uses Refining data to a common data architecture Discussing disparate data, its structure, quality, and how to identify it Describing how Data Sharing Reality is achieved Focusing on the importance of people and creating a win-win situation Providing a data lexicon and extensive glossary Data Sharing Using a Common Data Architecture is must reading for data administrators, database administrators, MIS project leaders, application programmers, systems analysts, MIS trainers and instructors, and graduate students.

Download or read book Intelligent Networks written by Syed V. Ahamed and published by Elsevier. This book was released on 2013-07-03 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers an insightful study of the intelligent Internet-driven revolutionary and fundamental forces at work in society. Readers will have access to tools and techniques to mentor and monitor these forces rather than be driven by changes in Internet technology and flow of money. These submerged social and human forces form a powerful synergistic foursome web of (a) processor technology, (b) evolving wireless networks of the next generation, (c) the intelligent Internet, and (d) the motivation that drives individuals and corporations. In unison, the technological forces can tear human lives apart for the passive or provide a cohesive set of opportunities for the knowledgeable to lead and reap the rewards in the evolved knowledge society. The book also provides in-depth coverage of the functions embedded in modern processors and intelligent communication networks. It focuses on the convergence of the design of modern processor technologies with the switching and routing methodologies of global intelligent networks. Most of the concepts that are generic to the design of terra-flop parallel processors and the terra-bit fiber-optic networks are presented. This book also highlights recent developments in computer and processor technologies into the microscopic and macroscopic medical functions in hospitals and medical centers. Examination of the latest technologies and innovations presented from academic and industrial perspectives of the concurrent dynamic changes in computer and communication industries An up-to-date and coherent perspective of the developments in the wireless and fiber optic network technologies based on the experience and developments in the older copper, cable and hybrid fiber-coaxial communication systems Provides a set of novel concepts and methodologies for the innovators in industry

Download or read book Wavelength Division Multiplexing written by Klaus Grobe and published by John Wiley & Sons. This book was released on 2013-09-12 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Optical Wavelength Division Multiplexing (WDM) is approached from a strictly practical and application-oriented point of view. Based on the characteristics and constraints of modern fiber-optic components, transport systems and fibers, the text provides relevant rules of thumb and practical hints for technology selection, WDM system and link dimensioning, and also for network-related aspects such as wavelength assignment and resilience mechanisms. Actual 10/40 Gb/s WDM systems are considered, and a preview of the upcoming 100 Gb/s systems and technologies for even higher bit rates is given as well. Key features: Considers WDM from ULH backbone (big picture view) down to PON access (micro view). Includes all major telecom and datacom applications. Provides the relevant background for state-of-the-art and next-gen systems. Offers practical guidelines for system / link engineering.

Download or read book Metalworking Fluids MWFs for Cutting and Grinding written by V P Astakhov and published by Elsevier. This book was released on 2012-01-31 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Metal working fluids (MWFs) provide important functions such as lubrication and cooling in the machining of metals. This book reviews the issues surrounding the use of fluids for cutting and grinding throughout the metal working process, from selection and testing to disposal. The book opens with chapters considering the mechanism and action, selection and delivery of MWFs to the machining zone before moving onto discuss the many issues surrounding MWFs during machining such as selection of the proper MWF, environmental concerns, supply methods, circulation and monitoring. The final chapters discuss the maintenance, replacement and disposal of MWFs. With its distinguished editors and international team of expert contributors, Metalworking fluids (MWFs) for cutting and grinding is an invaluable reference tool for engineers and organizations using metal cutting/machining in the manufacturing process as well as machine designers/manufacturers and machining fluid/chemical suppliers. Chapters consider the mechanism and action, selection and delivery of MWFs to the machining zone Environmental concerns, supply methods, circulation and monitoring are also discussed Written by distinguished editors and international team of expert contributors

Download or read book International Energy and Poverty written by Lakshman Guruswamy and published by Routledge. This book was released on 2015-08-20 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Around 2.8 billion people globally, also known as the "Other Third" or "energy poor", have little or no access to beneficial energy that meets their needs for cooking, heating, water, sanitation, illumination, transportation, or basic mechanical power. This book uniquely integrates the hitherto segmented and fragmented approaches to the challenge of access to energy. It provides theoretical, philosophical and practical analysis of energy for the low energy (non-hydrocarbon based) Other Third of the world, and how the unmet needs of the energy poor might be satisfied. It comprehensively addresses the range of issues relating to energy justice and energy access for all, including affordable - sustainable energy technologies (ASETs). The book breaks new ground by crafting a unified and cohesive framework for analysis and action that explains the factual and socio-political phenomenon of the energy poor, and demonstrates why clean energy is a primary determinant of their human progress. This is a must-read for all scholars, students, professionals and policy makers working on energy policy, poverty, and sustainable energy technologies.

Download or read book Innovation Networks written by Knut Koschatzky and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: Innovation networks are a major source for acquiring new information and knowledge and thus for supporting innovation processes. Despite the many theoretical and empirical contributions to the explanation of networks, many questions still remain open. For example: How can networks, if they do not emerge by their own, be initiated? How can fragmentation in innovation systems be overcome? And how can networking experience from market economies be transferred to the emerging economies of Central and Eastern Europe? By presenting a selection of papers which address innovation networking from theoretical and political viewpoints, the book aims at giving answers to these questions.

Download or read book Managing Water Resources written by Slobodan P. Simonović and published by Earthscan. This book was released on 2009 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2008. Routledge is an imprint of Taylor & Francis, an informa company.

Download or read book China s Emerging Technological Edge written by Denis Fred Simon and published by Cambridge University Press. This book was released on 2009-03-19 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses issues surrounding China's science and technology talent pool, and suggests significant policy implications for China and the international community.