Short description This book sets out to provide a manual on applied quantitative financial analysis. Aiming to focus on advanced methods for modelling financial markets in the context of practical financial applications, the book includes data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment.
From the contents About the Contributors.
Preface.
1. Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).
2. Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).
3. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (Nuno Cassola and Jorge Barros Lu).
4. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (Christian L. Dunis and Xuehuan Huang).
5. Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (George T. Albanis).
6. Switching Regime Volatility: An Empirical Evaluation (Bruno B. Roche and Michael Rockinger).
