Book Description
Harnessing the Power of Quantitative Techniques to Create a Winning Trading ProgramLars Kestner Quantitative Trading Strategies takes readers through the development and evaluation stages of today's most popular and market-proven technical trading strategies. Quantifying every subjective decision in the trading process, this analytical book evaluates the work of well-known "quants" from John Henry to Monroe Trout and introduces 12 all-new trading strategies. It debunks numerous popular misconceptions, and is certain to make waves--and change minds--in the world of technical analysis and trading.
Download Description
Harnessing the Power of Quantitative Techniques to Create a Winning Trading ProgramLars Kestner Quantitative Trading Strategies takes readers through the development and evaluation stages of today's most popular and market-proven technical trading strategies. Quantifying every subjective decision in the trading process, this analytical book evaluates the work of well-known "quants" from John Henry to Monroe Trout and introduces 12 all-new trading strategies. It debunks numerous popular misconceptions, and is certain to make waves--and change minds--in the world of technical analysis and trading.
Customer Reviews:
Not substantive enough.......2005-10-19
I must agree with reviewer Ira Balli from London below. This book lacks substantive information regarding the quantitative methods and therefore is merely an introduction to quant ideas that have been discussed in the marketplace. Of course, anyone who might have proprietary and successful quant methods would be foolhardly to disclose them, so one should not expect that from any public writer.
As an alternative, some of the chapters covering quant strategies in "Trade Like a Hedge Fund : 20 Successful Uncorrelated Strategies & Techniques to Winning Profits" by James Altucher may be easier to read as introductory work.
Don't buy this book.......2005-05-26
I am trading since 10 years, lead two hedge funds and I am about to finish my study in Msc of Mathematical trading and Finance.
This is the first review I wrote, because I always found it helpfull if somebody prevented me from buying a useless book.
This is definitely useless book!
Lars Kestners 11 new trading strategies described as "new" are at least 20 years old (moving average crossover, MACD, stochastic crossover, momentum, 3 in a row to mention some). The author has the nerves even to document how negative this straegies performed. Hence his stragies are old and were already at that time useless. The infomation content is appart from the title, the name of theauthor and the price = zero. Any novice that is able to spell "technical analysis" knows more about trading systems than this book teaches you. I don't even to mention that the this book has nothing to do with quantitative except you declare a moving average, a log function or the ADX calculation as a quantitative method.
professional.......2005-04-02
This book is written by a market professional. And it is obvious from the start. There is no hype, and the whole approach is based on maths and probability. The book is concise, and it would be very difficult to make the text shorter than it is.
Strategies presented in the book are well discussed. There is also a valuable and interesting discussion on the system's cycle. Author also presents his method of money management. And there are some ideas on quantitative investing, as opposed to trading. This may be a good way to diversify.
In general, this book is good value for money. It contains eighteen trading systems, tested on variety of instruments, fully disclosed. Some (more often useless than not) trading systems are sold for several times the price of this book. It is fun to read and gives many ideas for developing your own systems.
Nice introduction to quantitative trading.......2004-04-26
Very easy reading. You will find this book quite useful if you are trading using a mechanized approach via a platform such as TradeStation. You will also find it useful if you are developing software like TradeStation that backtests trading strategies. This is why I read the book.
In part one, he describes his testing methodology and discusses the building blocks that make up the strategies that he discusses later. For example, moving averages, channel breakouts, momentum, etc. are discussed under trend following techniques and relative strength index stochastics, and MACD under price oscillators. Most importantly, he describes how to use statistical measurements to analyze the performance of a strategy.
In Part 2, he presents his results of testing the following strategies:
Channel Breakout
Dual Moving Average Crossover
Momentum
Volatility Breakout
Stochastics
Relative Strength Index
MACD
followed by some of his ideas and innovations that improve upon them. He uses 12 years of daily price data (1990 - 2001) and each strategy tests 29 different futures contracts along with 34 different stocks. He also discusses money management, which is must reading.
Although he does not provide any code (which I would have liked to have seen), he does give enough information so that you can implement any of these strategies in TradeStation or any other strategy back testing software, assuming that you have some knowledge of basic programming.
I would have liked to have seen some strategies dealing with pure price patterns. Other than that, a very well organized and thought out book. My rating for this book is 4.5 stars.
it's ok.......2004-04-23
I agree with the reviewer below. This book did not give many pure mathematical ideas. He gave some good examples that may be helpful to some but not to people who are looking for good solid mathematical strategies.
If you are just getting interested in quantitative strategy development I would suggest the book.
Book Description
Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++.
These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application.
Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML.
A CD-ROM is included which contains: working computer code, demonstration applications and also pdf versions of several research articles.
* Enables reader to incorporate advanced financial modelling techniques in Windows compatible software
* Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options
* Includes CD-ROM with adaptive software
Book Description
This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies.
Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.
Customer Reviews:
Computational finance: Tavella.......2005-03-27
Badly written/errors/typos all over.
Reviews/praise (on back cover) are meaningless & misleading.
The proof is in the reading!.......2002-08-14
Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+.
John O'Brien, Executive Director MFE Program, U.C. Berkeley
Excellent Reference for Computational Finance.......2002-08-09
This is an excellent introduction book on computational finance. It covers Monte Carlo simulation for pricing and scenario generations and finite difference methods very well. I really like the part on Monte Carlo simulation with various variance reduction techniques such as Brownian Bridge.
The author not only presents the methodologies, but he also tells the readers their limitations. This book is also a good resource for basics of stochastic processes most commonly needed in practice. I think the book is beneficial both to practitioners and students who really wants to consider financial engineering as a career.
Excellent resource.......2002-08-06
Whether you're a practitioner or a student, this text is great. It is succinctly written, covering everything from fundamental theories then leading into practical applications. While it is not for the mentally flaccid, if your sharp enough, you'll find it very useful.
A book for the mathematically inclined.......2002-07-15
The book covers pricing of derivatives and the underlying computational methods. This broad range of topics covers aspects like stochastic calculus, risk neutral pricing and computational methods. The communication of this broad range of topics is a challenge and the book might be fine tuned to better teach the reader besides the intuition of the methods, the detailed implementation. It is suitable for people with a very strong mathematics and programming background, but is a tough read if one wants to learn these subjects. In order to become a good how -to book, the examples provided need to be expanded and ideally worked out in a more detailed fashion. One great add on might be to have a disk with sample code, that shows how the different methods work and how to implement them.
Positive is:
- Good section on stochastic calculus
- Good introduction to risk free pricing
Areas for improvement
- Expand examples
- Better quality check to avoid typos, that are especially annoying in formulas
- If this book is to be used as a textbook or for self study, practice examples with solutions would be great, as the reader can then work through these to internalize the material and in addition check if he has fully understood the material
Overall I can only recommend the book to people with strong liking of a mathematical treatment of a subject, strong programming skills and little need for detailed examples. It does not go into sufficient detail on how to implement the different simulation strategies into code (provides only "pseudo code") to teach the computational aspects.
Average customer rating:
|
Essential Quantitative Methods for Business, Management and Finance
Les Oakshott
Manufacturer: Palgrave Macmillan
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ASIN: 1403949913
Release Date: 2005-12-29 |
Book Description
A concise, accessible, comprehensive introduction to quantitative techniques emphasizing business relevance and discussing the challenges of problem-solving in the real world. Written for a diverse range of abilities, coverage includes chapters on revision mathematics, investment appraisal, decision-making and simulation. Excel and SPSS are integrated throughout.
Book Description
The only comprehensive reference encompassing both traditional and new derivatives and financial engineering techniques
Based on the author's hugely successful Derivatives: The Theory and Practice of Financial Engineering, Paul Wilmott on Quantitative Finance is the definitive guide to derivatives and related financial products. In addition to fully updated and expanded coverage of all the topics covered in the first book, this two-volume set also includes sixteen entirely new chapters covering such crucial areas as stochastic control and derivatives, utility theory, stochastic volatility and utility, mortgages, real options, power derivatives, weather derivatives, insurance derivatives, and more. Wilmott has also added clear, detailed explanations of all the mathematical procedures readers need to know in order to use the techniques he describes.
Paul Wilmott, Dphil (Oxford, UK), is one of Europe's leading writers and consultants in the area of financial mathematics. He is also head of Wilmott Associates, a leading international financial consulting firm whose clients include Citibank, IBM, Bank of Montreal, Momura, Daiwa, Maxima, Dresdner Klienwort Benson, Origenes, and Siembra.
Customer Reviews:
Truly a must-have!.......2006-03-27
This is the most comprehensive overview on derivatives available. Following a very light and humourous but at the same time rigorous approach, Wilmott manages to make even very complex aspects of modeling, pricing and hedging accessible. This is a must-have for every practitioner.
THE place to start.......2005-08-09
I bough 20 books before this set. I was wondering if the older Derivatives book was really worth $450 used without the CD. This is the place to start. It is written with style and humor coupled with a pace that is simple to adjust to. I judge a book by how many equations it has - more is BETTER! This set strikes a balance. The exposition is solid. It covers many specialized topics like Energy Derivatives (just a taste, mind you, but it is there to get us thinking). I guess the bottom line is this book allowed me to start thinking like a Financial Quant and less like a mathematical physicist. I have gotten much more out of the other more mathematical works because I understand how the Quants think. I still like The Physics of Finance by Ilinsky. This is more than the past Derivatives book (that makes up the first 65% of volume 1) and sets a real tone to understanding - this is just what I was looking for as I re-tool. Buy this FIRST. Read the TOC. Get moving!
Insufficient.......2003-11-24
This is not as good as Wilmott's earlier work, and even that could have benefited from better definition of terms. Wilmott needs to brush up on the latest techniques and talk to some practitioners to learn how to apply math to real world examples. It seems there is a lack of depth of understanding evidenced by the writing. The sections of self-expose are an embarrassment.
Old Material.......2003-11-23
This is recycled Wilmott, but not even as good as earlier work. His first book was better, probably because his co-authors talked some sense into him. His personal anecdotes demonstrate a low emotional IQ. It is as if Wilmott thinks that if readers agree with the finance they must agree with his incessant and juvenile self-regard. My reaction to the inappropriate self-expose was: "Who cares? Get some friends, they might help on the financial aspects of this book".
Wilmott's financial IQ is only average, if this book is to be the evidence. It seems Wilmott isn't up on the latest techniques, or can't be bothered to research them. Stochastic calculus for example. Lack of real world practical examples demonstrates lack of knowledge of how financial instruments work in practice.
Not practical or academic enough.......2003-11-15
The finance market is flooded with paper, but much is redundant and some isn't even very useful. This book manages to be both. "Market Models" by Carol Alexander is a fabulous resource. There are a lot of books and articles on quantitative finance and if you want only that, look through the literature and choose, but this book won't give enough comprehensive coverage to make it a buy.
Book Description
Quantitative Methods for Finance and Investments ensures that readers will gain a reasonable degree of comfort and proficiency in applying elementary mathematics to financial analysis in a variety of areas. All of the methodology in this book is geared toward the development, implementation, and analysis of financial models to solve problems encountered by both finance students and practitioners. The book:analyzes theoretical and practitioner-oriented models long with the mathematics required to construct thempresents the most essential mathematical techniques and their applications to financial analysisprovides dozens of practical applications, examples, and end-of-chapter exercises with detailed solutionsdemonstrates key spreadsheet applications of the mathematical models in chapter appendicesemphasizes practical applications of modeling technique.
Customer Reviews:
Excellent review for finance.......2007-02-14
This book covers the basic math and concepts for finance. All you need in a simple and descriptive summary. Highly recommended.
Ideal for its audience.......2002-09-15
Abraham Lincoln said: "If you like this kind of book, this is the kind of book you will like." Teall and Hasan fill the bill. They do an excellent job of meeting the needs of a particular audience. That would be: students with some grounding in math who need a refresher for the academic study of finance. Coverage is exhaustive: they carry the reader all the way from a basic math refresher through to option pricing. The examples are clear and specific, and they are neatly related to the subject at hand -- it's not just a recycled engineering text.
The introduction says that the purpose is "to update" their skills. The verb is well chosen. I doubt that anyone could learn, say calculus, from a reading of this book, no matter how determined the reader. But the student who took calculus in high school and then forgot it will find this a serviceable device for bringing it back to mind. Perhaps inconsistently, the authors also say that the book can serve "as a primary text" for a quants course, even for undergraduates. Repeating what I said above, I doubt it.
The nature of these comments may seem to limit their market, but I mean no criticism of the book as such. I am already recommending it to students, and for the right reader, it is just the ticket.
Book Description
This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility.
Chapters new to this third edition:
* What good is a volatility model? Engle and Patton
* Applications for portfolio variety Dan diBartolomeo
* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish
* Volatility modeling and forecasting in finance Xiao and Aydemir
* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey
* Leading thinkers present newest research on volatility forecasting
*International authors cover a broad array of subjects related to volatility forecasting
*Assumes basic knowledge of volatility, financial mathematics, and modelling
Average customer rating:
- I recommend undergraduate student
|
Quantitative Analysis for Investment Management
Jr. Robert A. Taggart
Manufacturer: Prentice Hall
ProductGroup: Book
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ASIN: 0133196909 |
Customer Reviews:
I recommend undergraduate student.......2000-08-12
I'm graduate student now.I looked for the book to read more mathmatically ones.This book is very cleary, plain. You can read without knowledge of math and probability.So he explain wide area.
But is not suitable for me. Because of too easy! For finance with mathematics, I recommend [An introduction to the mathematics of financial derivatives:S.N.Neftci ].
Then if you haven't ever read the book of this field,this book is good for you!
Book Description
Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.
Average customer rating:
- What a great disappointment¡¡¡
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Forecasting Volatility in the Financial Markets, Second Edition (Quantitative Finance)
Manufacturer: Butterworth-Heinemann
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A Practical Guide to Forecasting Financial Market Volatility (The Wiley Finance Series)
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Inside Volatility Arbitrage : The Secrets of Skewness
ASIN: 0750655151 |
Book Description
'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.
The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.
This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.
* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.
* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.
* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.
* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.
* Students and academics will find the collection of papers an invaluable overview of this field.
This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure
Current research on the key forecasting methods to use in risk management, including two new chapters
Customer Reviews:
What a great disappointment¡¡¡ .......2005-06-25
This book really frustrated me. It doesn?t reflects what I truly expected. What am I going to do with this book? Throw it away, burn it or use it as toilet paper. This book is disastrous. Do it again, with exercises, spreadsheets, solved cases, CD, etc. I?m going to rate this book with 1 star. I want my money back.
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