这里有一本描写计量经济学的书籍，感觉挺好的，分享给大家
ADVANCED ALGORITHMIC TRADING Bayesian Statistics, Time Series Analysis and Machine Learning for Profitable Trading Strategies
作者 Michael L. Halls-Moore
目录如下：
I Introduction 1
1Introduction To Advanced Algorithmic Trading . . . . . . . . . . . . . . . . .3
II BayesianStatistics 9
2 Introduction to Bayesian Statistics . . . . . . . . . . . . . . . . . . . . . .. . . 11
3 Bayesian Inference of a Binomial Proportion . . . . . . . . . . . . . . . . . . . 19
4 Markov Chain Monte Carlo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .29
5 Bayesian Linear Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .39
III TimeSeries Analysis 49
6 Introduction to Time Series Analysis . . . . . . . . . . . . . . . . . . . . .. . . 51
7 Serial Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . 55
8 Random Walks and White Noise Models . . . . . . . . . . . . . . . . . . . . . . 65
9 Autoregressive Moving Average Models . . . . . . . . . . . . . . . . . . . . .. 75
10 Autoregressive Integrated Moving Average and Conditional Heteroskedastic Models
. . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .109
11 State Space Models and the Kalman Filter . . . . . . . . . . . . . . . . . . . . 127
IV Statistical Machine Learning 133
12 Model Selection and Cross-Validation . . . . . . . . . . . . . . . . . . . . . . .135
13 Kernel Methods and SVMs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .157
V Quantitative Trading Strategies 189
14 Introduction to QSTrader . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . 191
15 ARIMA+GARCH Trading Strategy on Stock Market Indexes Using R . . . 195
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