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A primer for financial engineering : financial signal processing and electronic trading / Ali N. Akansu and Mustafa U. Torun.
- Format:
- Book
- Author/Creator:
- Akansu, Ali N., author.
- Torun, Mustafa U., author.
- Language:
- English
- Subjects (All):
- Financial engineering.
- Physical Description:
- 1 online resource (155 pages) : illustrations, graphs
- Edition:
- 1st ed.
- Place of Publication:
- Amsterdam, [Netherlands] : Academic Press, 2015.
- Summary:
- This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study.-- Provided by publisher.
- Contents:
- Financial markets and instruments. Structure of the markets
- Financial instruments
- Fundamentals of quantitative finance. Stock price models
- Asset returns
- Modern portfolio theory
- Capital asset pricing model
- Relative value and factor models
- Trading strategies. Trading terminology
- Long and short positions
- Cost of trading
- Backtesting
- Pairs trading and mean reversion
- Statistical arbitrage
- Trend following
- Trading in multiple frequencies
- Risk estimation and management. Eigenfiltering of noise in empirical correlation matrix
- Risk estimation for trading in multiple frequencies
- Fast eigenfiltering for risk estimation
- Portfolio risk management
- Order execution and limit order book. Market impact and algorithmic trading
- Limit order book
- Epps effect
- High frequency trading.
- Notes:
- Includes bibliographical references.
- Description based on online resource; title from PDF title page (ebrary, viewed April 11, 2015).
- ISBN:
- 9780128015612
- 0128015616
- 9780128017500
- 0128017503
- OCLC:
- 908047521
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