Applied Quantitative Methods for Trading and Investment [Hardcover]

This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment.

•  Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston.
• Fills the gap for a book on applied quantitative investment & trading models
• Provides details of how to combine various models to manage and trade a portfolio

About the Contributors.

Preface.

1 Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).

Abstract.

1.1 Introduction.

1.2 Literature review.

1.3 The exchange rate and related financial data.

1.4 Benchmark models: theory and methodology.

1.5 Neural network models: theory and methodology.

1.6 Forecasting accuracy and trading simulation.

1.7 Concluding remarks.

2 Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).

Abstract.

2.1 Introduction.

2.2 Time series modelling and cointegration.

2.3 Implicit hedging of unknown common risk factors.

2.4 Relative value and statistical arbitrage.

2.5 Illustration of cointegration in a controlled simulation.

2.6 Application to internal0