Product Description

This much-needed book, from a selection of top international experts, fills a gap by providing a manual of applied quantitative financial analysis. It focuses on advanced empirical methods for modelling financial markets in the context of practical financial applications.

Data, software and techniques specifically aligned to trading and investment will enable the reader to implement and interpret quantitative methodologies covering various models.

The unusually wide-ranging methodologies include not only the 'traditional' financial econometrics but also technical analysis systems and many nonparametric tools from the fields of data mining and artificial intelligence. However, for those readers wishing to skip the more theoretical developments, the practical application of even the most advanced techniques is made as accessible as possible.

Depending on the model being described, different software will be used, and examples included on the accompanying CD. Data and details will be provided to enable the reader to transfer the routines to a different software package.

The book will be read by quantitative analysts and traders, fund managers, risk managers; graduate students in finance and MBA courses.

Product Details

• Amazon Sales Rank: #195381 in Books
• Published on: 2003-10-31
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 426 pages

From the Back Cover
This much-needed book, from a selection of top international experts, fills a gap by providing a manual of applied quantitative financial analysis. It focuses on advanced empirical methods for modelling financial markets in the context of practical financial applications.

Data, software and techniques specifically aligned to trading and investment will enable the reader to implement and interpret quantitative methodologies covering various models.

The unusually wide-ranging methodologies include not only the 'traditional' financial econometrics but also technical analysis systems and many nonparametric tools from the fields of data mining and artificial intelligence. However, for those readers wishing to skip the more theoretical developments, the practical application of even the most advanced techniques is made as accessible as possible.

Depending on the model being described, different software will be used, and examples included on the accompanying CD. Data and details will be provided to enable the reader to transfer the routines to a different software package.

The book will be read by quantitative analysts and traders, fund managers, risk managers; graduate students in finance and MBA courses.

About the Author
CHRISTIAN L. DUNIS is Girobank Professor of Banking and Finance at Liverpool Business School, and Director of its Centre for International Banking, Economics and Finance (CIBEF). He is also a consultant to asset management firms, a Visiting Professor of International Finance at Venice International University and an Official Reviewer attached to the European Commission for the evaluation of applications to finance of emerging software technologies. He is an Editor of the European Journal of Finance, and has widely published in the field of financial markets analysis and forecasting. He has organised the Forecasting Financial Markets Conference since 1994.

JASON LAWS is a Lecturer in International Banking and Finance at Liverpool John Moores University. He is also the Course Director for the M.Sc. in International Banking, Economics and Finance at Liverpool Business School. He has taught extensively in the area of investment theory and derivative securities at all levels, both in the UK and in Asia. Jason is also an active member of CIBEF, and has published in a number of academic journals. His research interests are focussed on volatility modelling and the implementation of trading strategies.

PATRICK NAÏM is an engineer of the École Centrale de Paris. He is the founder and chairman of Elseware, a company specialising in the application of nonlinear methods to financial management problems. He is currently working for some of the largest French institutions and co-ordinating research projects in the field at European level.

Customer Reviews

Provocative and fun text on the cutting edge, not an introductionn
Whereas most books on quantitative finance focus on how to price derivatives or model interest rates, this is a text on quantitative and computational methods that are about making money.

How to we forecast future prices? What is the place for artificial intelligence and neural networks? How are people using Bayesian methods and neural regressions? How can technical analysis and trend-following rules contribute to quantitative trading systems? How can new volatility and correlation models be applied (in Excel) to portfolio optimization?

These questions are answered by practitioners and academics with case studies and real-world applications. Each chapter provides a quick taste of things people are doing outside the box of your typical quant finance books. Do not expect a new philosophy or over-arching theory. This is just a book to prod half-baked ideas that might merit more consideration or to re-start one's own creative juices.

For traders with very strong statistics and programming background
Unless you already are in the trade or you want to write your own trading programmes, please give this a pass. This quantitative analysis based book is definitely beyond those without very strong statistics and programming capabilities. Sorry to tell you that as an MBA, CFA pro trader, I could grasp at most 30% of the modeling techniques described. Certainly the CDROM bundled did help. However, I doubt how many readers would have that patience and resource to collect and input the data needed.

Excellent
This book offers a very nice insight on quatitative finance, so a variety of topics is covered...The book goes trough very popular and stablished analysis methods, so Markowitz portfolio selection model to more sophisticated so as neural networks...In my opinion, it is a very useful book, not only to grasp the fundamental things, but alto to implement them...flh