Applied Quantitative Methods for Trading and Investment

交易投资中的数量方法

数量金融经典书籍

Preface xv
1 Applications of Advanced Regression Analysis for Trading and
Investment 1
Christian L. Dunis and Mark Williams
Abstract 1
1.1 Introduction 1
1.2 Literature review 3
1.3 The exchange rate and related financial data 4
1.4 Benchmark models: theory and methodology 10
1.5 Neural network models: theory and methodology 20
1.6 Forecasting accuracy and trading simulation 31
1.7 Concluding remarks 36
References 39
2 Using Cointegration to Hedge and Trade International Equities 41
A. Neil Burgess
Abstract 41
2.1 Introduction 41
2.2 Time series modelling and cointegration 42
2.3 Implicit hedging of unknown common risk factors 45
2.4 Relative value and statistical arbitrage 47
2.5 Illustration of cointegration in a controlled simulation 50
2.6 Application to international equities 54
2.7 Discussion and conclusions 66
References 68

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9 Portfolio Analysis Using Excel 293
Jason Laws
Abstract 293
9.1 Introduction 293
9.2 The simple Markovitz model 294
9.3 The matrix approach to portfolio risk 301
9.4 Matrix algebra in Excel when the number of assets increases 303
9.5 Alternative optimisation targets 308
9.6 Conclusion 310
Bibliography 311
10 Applied Volatility and Correlation Modelling Using Excel 313
Fr´ed´erick Bourgoin
Abstract 313
10.1 Introduction 313
10.2 The Basics 314
10.3 Univariate models 315
10.4 Multivariate models 324
10.5 Conclusion 331
References 332
11 Optimal Allocation of Trend-Following Rules: An Application
Case of Theoretical Results 333
Pierre Lequeux
Abstract 333
11.1 Introduction 333
11.2 Data 333
11.3 Moving averages and their statistical properties 335
11.4 Trading rule equivalence 336
11.5 Expected transactions cost under assumption of random walk 338
11.6 Theoretical correlation of linear forecasters 340
11.7 Expected volatility of MA 341
11.8 Expected return of linear forecasters 342
11.9 An applied example 344
11.10 Final remarks 346
References 347
12 Portfolio Management and Information from Over-the-Counter
Currency Options 349
Jorge Barros Lu´ıs
Abstract 349
12.1 Introduction 349
Contents ix
12.2 The valuation of currency options spreads 353
12.3 RND estimation using option spreads 355
12.4 Measures of correlation and option prices 359
12.5 Indicators of credibility of an exchange rate band 361
12.6 Empirical applications 365
12.7 Conclusions 378
References 379
13 Filling Analysis for Missing Data: An Application to Weather
Risk Management 381
Christian L. Dunis and Vassilios Karalis
Abstract 381
13.1 Introduction 381
13.2 Weather data and weather derivatives 383
13.3 Alternative filling methods for missing data 385
13.4 Empirical results 393
13.5 Concluding remarks 395
Appendix A 396
Appendix B 397
References 398
Index 401