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 Evidence Based Technical Analysis written by David Aronson and published by John Wiley & Sons. This book was released on 2011-07-11 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.

Download or read book Forecasting principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.

Download or read book The Evaluation and Optimization of Trading Strategies written by Robert Pardo and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.

Download or read book Machine Learning Approaches in Financial Analytics written by Leandros A. Maglaras and published by Springer Nature. This book was released on with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Machine Learning for Algorithmic Trading written by Stefan Jansen and published by Packt Publishing Ltd. This book was released on 2020-07-31 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio. Purchase of the print or Kindle book includes a free eBook in the PDF format. Key FeaturesDesign, train, and evaluate machine learning algorithms that underpin automated trading strategiesCreate a research and strategy development process to apply predictive modeling to trading decisionsLeverage NLP and deep learning to extract tradeable signals from market and alternative dataBook Description The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models. This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research. This edition shows how to work with market, fundamental, and alternative data, such as tick data, minute and daily bars, SEC filings, earnings call transcripts, financial news, or satellite images to generate tradeable signals. It illustrates how to engineer financial features or alpha factors that enable an ML model to predict returns from price data for US and international stocks and ETFs. It also shows how to assess the signal content of new features using Alphalens and SHAP values and includes a new appendix with over one hundred alpha factor examples. By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance. What you will learnLeverage market, fundamental, and alternative text and image dataResearch and evaluate alpha factors using statistics, Alphalens, and SHAP valuesImplement machine learning techniques to solve investment and trading problemsBacktest and evaluate trading strategies based on machine learning using Zipline and BacktraderOptimize portfolio risk and performance analysis using pandas, NumPy, and pyfolioCreate a pairs trading strategy based on cointegration for US equities and ETFsTrain a gradient boosting model to predict intraday returns using AlgoSeek's high-quality trades and quotes dataWho this book is for If you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies. Some understanding of Python and machine learning techniques is required.

Download or read book Integrated Uncertainty in Knowledge Modelling and Decision Making written by Van-Nam Huynh and published by Springer. This book was released on 2018-03-09 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 6th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2018, held in Hanoi, Vietnam, in March 2018.The 39 revised full papers presented in this book were carefully reviewed and selected from 76 initial submissions. The papers are organized in topical sections on uncertainty management and decision support; clustering and classification; machine learning applications; statistical methods; and econometric applications.

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer. This book was released on 2014-05-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.

Download or read book Recent Advancements in Computational Finance and Business Analytics written by Rangan Gupta and published by Springer Nature. This book was released on 2023-10-29 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent Advancements of Computational Finance and Business Analytics provide a comprehensive overview of the cutting-edge advancements in this dynamic field. By embracing computational finance and business analytics, organizations can gain a competitive edge in an increasingly data-driven and complex business environment. This book has explored the latest developments and breakthroughs in this rapidly evolving domain, providing a comprehensive overview of the current state of computational finance and business analytics. It covers the following dimensions of this domains: Business Analytics Financial Analytics Human Resource Analytics Marketing Analytics

Download or read book Optimization Methods for Gas and Power Markets written by Enrico Edoli and published by Springer. This book was released on 2016-04-30 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

Download or read book Algorithmic and High Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

Download or read book The Evaluation and Optimization of Trading Strategies written by Robert Pardo and published by John Wiley & Sons. This book was released on 2008-02-08 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.

Download or read book Proceedings of the 2022 2nd International Conference on Business Administration and Data Science BADS 2022 written by Víctor Fernández-Viagas and published by Springer Nature. This book was released on 2023-01-13 with total page 1511 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. The 2nd International Conference on Business Administration and Data Science (BADS 2022) is hosted by Kashi University and organized by the College of Economics and Management of Kashi University. The 2nd International Conference on Business Administration and Data Science (BADS 2022) is one of the series of activities for the 60th anniversary of the founding of Kashgar University In the current situation of rapid economic development, the competition in the market is increasingly fierce. The drawbacks of traditional enterprise management and the backward management concept have seriously hindered the normal development of enterprises. In order to improve their competitive advantages and market share, enterprises must optimize their management methods and build a modern business administration system. In this situation, enterprises can only promote their development process by improving their business management mode and formulating scientific business management policies.

Download or read book ICIDC 2022 written by Zuriati Ahmad Zukarnain and published by European Alliance for Innovation. This book was released on 2022-10-13 with total page 2599 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2022 International Conference on Information Economy, Data Modeling and Cloud Computing (ICIDC 2022) was successfully held in Qingdao, China from June 17 to 19, 2022. Under the impact of COVID-19, ICIDC 2022 was held adopting a combination of online and offline conference. During this conference, we were greatly honored to have Prof Datuk Dr Hj Kasim Hj Md Mansur from Universiti Malaysia Sabah, Malaysia to serve as our Conference Chairman. And there were 260 individuals attending the conference. The conference agenda was composed of keynote speeches, oral presentations, and online Q&A discussion. The proceedings of ICIDC 2022 cover various topics, including Big Data Finance, E-Commerce and Digital Business, Modeling Method, 3D Modeling, Internet of Things, Cloud Computing Platform, etc. All the papers have been checked through rigorous review and processes to meet the requirements of publication. Data modeling allows us to obtain the dynamic change trend of various indicator data, so how to use big data information to model and study the development trend of economic operation plan is of great significance. And that is exactly the purpose of this conference, focusing on the application of big data in the economic field as well as conducting more profound research in combination with cloud computing.

Download or read book Automated Option Trading written by Sergey Izraylevich and published by FT Press. This book was released on 2012 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Using the authors' techniques, sophisticated traders can create powerful frameworks for the consistent, disciplined realization of well-defined, formalized, and carefully-tested trading strategies based on their specific requirements. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. Every facet of the authors' approach is optimized for options, including strategy development and optimization; capital allocation; risk management; performance measurement; back-testing and walk-forward analysis; and trade execution. The authors' system reflects a continuous process of valuation, structuring and long-term management of investment portfolios (not just individual instruments), introducing systematic approaches for handling portfolios containing option combinations related to different underlying assets. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions.

Download or read book Applied Quantitative Methods in Finance written by Kaveh Sheibani and published by ORLAB Analytics. This book was released on 2014-12-31 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative methods in finance form a wide research field which addresses many different problems and practical applications. The papers of this special issue, however, all contribute to one of the core application areas in finance: investment decisions. In doing so, they apply a variety of methodological approaches and address different aspects of the overall investment decision. But they share both a very practical perspective and the direct empirical verification of the given proposals.

Download or read book ICEMME 2023 written by Nikolaos Freris and published by European Alliance for Innovation. This book was released on 2024-02-27 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2023 5th International Conference on Economic Management and Model Engineering (ICEMME 2023) was held on November 17-19, 2023 in Beijing, China. The primary objective of this conference is to facilitate the exchange of ideas and knowledge among researchers, scholars, and practitioners in the field of economic management and modeling engineering. Through presentations, discussions, and networking opportunities, participants will have the chance to explore the latest advancements, methodologies, and best practices in these areas. The conference was focused on three main themes: Enterprise Economic Management and Market Mechanism Assessment; Data Statistical Analysis and Economic Forecasting; Industrial Structure Optimization and Economic Green Development. For readers, this collection of papers offers a comprehensive insight into cutting-edge research and case studies, providing valuable information on current trends, challenges, and opportunities in economic management and modeling engineering. Readers will benefit from the diverse perspectives and innovative approaches presented in these papers, inspiring new ideas and solutions for their own research endeavors. Moreover, the positive influence of this conference extends beyond the current discussions. It is expected that the findings and recommendations shared in these proceedings will serve as a foundation for future research in the field of economic management and modeling engineering. By fostering collaboration, knowledge sharing, and academic discourse, this conference aims to contribute to the advancement of the field and stimulate further research initiatives in the years to come.