Mastering R for Quantitative Finance

Edina Berlinger, Ferenc Illes, Milan Badics, Adam Banai, Gergely Daroczi


Use R to optimize your trading strategy and build up your own risk management system

About This Book

  • Learn to manipulate, visualize, and analyze a wide range of financial data with the help of built-in functions and programming in R
  • Understand the concepts of financial engineering and create trading strategies for complex financial instruments
  • Explore R for asset and liability management and capital adequacy modeling

Who This Book Is For

This book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.

What You Will Learn

  • Analyze high frequency financial data
  • Build, calibrate, test, and implement theoretical models such as cointegration, VAR, GARCH, APT, Black-Scholes, Margrabe, logoptimal portfolios, core-periphery, and contagion
  • Solve practical, real-world financial problems in R related to big data, discrete hedging, transaction costs, and more.
  • Discover simulation techniques and apply them to situations where analytical formulas are not available
  • Create a winning arbitrage, speculation, or hedging strategy customized to your risk preferences
  • Understand relationships between market factors and their impact on your portfolio
  • Assess the trade-off between accuracy and the cost of your trading strategy

In Detail

R is a powerful open source functional programming language that provides high level graphics and interfaces to other languages. Its strength lies in data analysis, graphics, visualization, and data manipulation. R is becoming a widely used modeling tool in science, engineering, and business.

The book is organized as a step-by-step practical guide to using R. Starting with time series analysis, you will also learn how to forecast the volume for VWAP Trading. Among other topics, the book covers FX derivatives, interest rate derivatives, and optimal hedging. The last chapters provide an overview on liquidity risk management, risk measures, and more.

The book pragmatically introduces both the quantitative finance concepts and their modeling in R, enabling you to build a tailor-made trading system on your own. By the end of the book, you will be well versed with various financial techniques using R and will be able to place good bets while making financial decisions.


使用 R 來優化您的交易策略並建立自己的風險管理系統

- 學習使用 R 的內建函數和程式設計來操作、視覺化和分析各種金融數據
- 瞭解金融工程的概念,並為複雜金融工具創建交易策略
- 探索 R 在資產負債管理和資本充足性建模方面的應用

本書適合對於如何在量化金融領域使用 R 的能力有更高級別的學習興趣的讀者。如果您希望完全跟上章節的節奏,您需要具備中級量化金融水平,並且對 R 有合理的了解。

- 分析高頻金融數據
- 建立、校準、測試和實施理論模型,如共整合、VAR、GARCH、APT、Black-Scholes、Margrabe、對數最優投資組合、核心-邊緣、傳染等
- 在 R 中解決與大數據、離散對沖、交易成本等相關的實際金融問題
- 探索模擬技術,並將其應用於無法使用分析公式的情況
- 創建符合您風險偏好的套利、投機或對沖策略
- 瞭解市場因素之間的關係及其對您的投資組合的影響
- 評估交易策略的準確性和成本之間的權衡

R 是一種功能強大的開源函數式編程語言,提供高級圖形和與其他語言的接口。它的優勢在於數據分析、圖形、可視化和數據操作。R 正在成為科學、工程和商業中廣泛使用的建模工具。

本書以逐步實用的方式組織,介紹如何使用 R。從時間序列分析開始,您還將學習如何預測 VWAP 交易的成交量。除其他主題外,本書還涵蓋了外匯衍生品、利率衍生品和最佳對沖。最後幾章提供了流動性風險管理、風險度量等概述。

本書實用地介紹了量化金融概念及其在 R 中的建模,使您能夠自己建立一個量身定制的交易系統。通過閱讀本書,您將熟悉使用 R 進行各種金融技術,並能夠在做出金融決策時做出明智的選擇。