Applied Quantitative Methods for Trading and Investment

by Dunis, Christian L.; Laws, Jason; Na¿m, Patrick

• ISBN13: 9780470848852
• ISBN10: 0470848855
• Edition: 1st
• Format: Hardcover
• Copyright: 2003-10-24
• Publisher: WILEY

Summary

This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes CD-ROM with samples of different software used in the various models. * Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. * Fills the gap for a book on applied quantitative investment & trading models * Provides details of how to combine various models to manage and trade a portfolio

Author Biography

<b>CHRISTIAN L. DUNIS</b> 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. <p> <b>JASON LAWS</b> 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. <p> <b>PATRICK NA&#207;M</b> is an engineer of the &#201;cole 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.<br> >

Table of 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