Автор: Guo, Xin , Lai, Tze Leung , Shek, Howard , Wong Название: Quantitative Trading ISBN: 0367871815 ISBN-13(EAN): 9780367871819 Издательство: Taylor&Francis Рейтинг: Цена: 10104.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part cove
Автор: Nolte, Ingmar Название: High Frequency Trading and Limit Order Book Dynamics ISBN: 1138829382 ISBN-13(EAN): 9781138829381 Издательство: Taylor&Francis Рейтинг: Цена: 23734.00 р. Наличие на складе: Нет в наличии.
Описание: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area.
The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Автор: Ionut Florescu, Maria C. Mariani, H. Eugene Stanley, Frederi G. Viens Название: Handbook of High-Frequency Trading and Modeling in Finance ISBN: 1118443985 ISBN-13(EAN): 9781118443989 Издательство: Wiley Рейтинг: Цена: 20742.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data.
Автор: Srdjan Stojanovic Название: Computational Financial Mathematics using MATHEMATICA® ISBN: 146126586X ISBN-13(EAN): 9781461265863 Издательство: Springer Рейтинг: Цена: 10366.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions.
This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book.
Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented
The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.
Автор: Hasbrouck, Joel Название: Empirical Market Microstructure ISBN: 0195301641 ISBN-13(EAN): 9780195301649 Издательство: Oxford Academ Рейтинг: Цена: 14858.00 р. Наличие на складе: Поставка под заказ.
Описание: The book discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
Автор: Julien Chevallier Название: Econometric Analysis of Carbon Markets ISBN: 9400796668 ISBN-13(EAN): 9789400796669 Издательство: Springer Рейтинг: Цена: 7312.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Aimed at those with a basic understanding of time series econometrics, this analysis of the EU`s emissions trading scheme and its `clean development mechanism` shows how to use econometric techniques to analyze the evolving and expanding carbon markets sphere.
Автор: Bulkowski, Thomas N. Название: Encyclopedia of chart patterns ISBN: 0471668265 ISBN-13(EAN): 9780471668268 Издательство: Wiley Рейтинг: Цена: 15048.00 р. Наличие на складе: Поставка под заказ.
Описание: In his original groundbreaking book Thomas Bulkowski created a popular reference for all technical investors and traders. Now updated in its second edition, the book contains new performance statistics for both bull and bear markets, 23 new patterns, and includes a second section devoted to ten event patterns.
Автор: Nakajima Название: Energy Trading and Risk Management ISBN: 9811956022 ISBN-13(EAN): 9789811956027 Издательство: Springer Рейтинг: Цена: 13415.00 р. Наличие на складе: Нет в наличии.
Описание: This book introduces empirical methods for analyzing energy markets. Even beginners in econometrics and mathematical finance must be able to learn how to utilize these methodologies and how to interpret the analysis results. This book provides some example analyses of the North American, European, and Asian energy markets. The reader will experience some theories and practices of energy trading and risk management. This book reveals the characteristics of energy markets using quantitative analyses. Examples include unit root, cointegration, long-term equilibrium, stochastic arbitrage simulation, multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models, exponential GARCH (EGARCH) models, optimal hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA) models, connectedness, and frequency decomposition. This book is suitable for people interested in the empirical study of energy markets and energy trade.
Автор: Philippe Drobinski; Mathilde Mougeot; Dominique Pi Название: Renewable Energy: Forecasting and Risk Management ISBN: 3319990519 ISBN-13(EAN): 9783319990514 Издательство: Springer Рейтинг: Цена: 19514.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Gathering selected, revised and extended contributions from the conference ‘Forecasting and Risk Management for Renewable Energy FOREWER’, which took place in Paris in June 2017, this book focuses on the applications of statistics to the risk management and forecasting problems arising in the renewable energy industry. The different contributions explore all aspects of the energy production chain: forecasting and probabilistic modelling of renewable resources, including probabilistic forecasting approaches; modelling and forecasting of wind and solar power production; prediction of electricity demand; optimal operation of microgrids involving renewable production; and finally the effect of renewable production on electricity market prices. Written by experts in statistics, probability, risk management, economics and electrical engineering, this multidisciplinary volume will serve as a reference on renewable energy risk management and at the same time as a source of inspiration for statisticians and probabilists aiming to work on energy-related problems.
Автор: Sergii Masiuk, Alexander Kukush, Sergiy Shklyar, M Название: Radiation Risk Estimation: Based on Measurement Error Models ISBN: 3110441802 ISBN-13(EAN): 9783110441802 Издательство: Walter de Gruyter Рейтинг: Цена: 22305.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This monograph discusses statistics and risk estimates applied to radiation damage under the presence of measurement errors. The first part covers nonlinear measurement error models, with a particular emphasis on efficiency of regression parameter estimators. In the second part, risk estimation in models with measurement errors is considered. Efficiency of the methods presented is verified using data from radio-epidemiological studies.
Contents:
Part I - Estimation in regression models with errors in covariates
Measurement error models
Linear models with classical error
Polynomial regression with known variance of classical error
Nonlinear and generalized linear models
Part II Radiation risk estimation under uncertainty in exposure doses
Overview of risk models realized in program package EPICURE
Estimation of radiation risk under classical or Berkson multiplicative error in exposure doses
Radiation risk estimation for persons exposed by radioiodine as a result of the Chornobyl accident
Elements of estimating equations theory
Consistency of efficient methods
Efficient SIMEX method as a combination of the SIMEX method and the corrected score method
Application of regression calibration in the model with additive error in exposure doses
Автор: Zoltan Kovacs Название: Probabilistic Safety Assessment of WWER440 Reactors ISBN: 3319085476 ISBN-13(EAN): 9783319085470 Издательство: Springer Рейтинг: Цена: 15957.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Introduction.- The nuclear power plant with WWER440 reactors.- Level 1 full power PSA.- Level 1 low power and shutdown PSA.- Level 2 PSA.- PSA applications.- Conclusions.
Автор: Kevin Berk Название: Modeling and Forecasting Electricity Demand ISBN: 3658086688 ISBN-13(EAN): 9783658086688 Издательство: Springer Рейтинг: Цена: 10258.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The master thesis of Kevin Berk develops a stochastic model for the electricity demand of small and medium-sized companies that is flexible enough so that it can be used for various business sectors. As a consequence, forecasting electricity load and its risk is now an integral component of the risk management for all market participants.
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