文件名称:
Mastering R for Quantitative Finance
开发工具:
文件大小: 3mb
下载次数: 0
上传时间: 2016-10-16
详细说明: Chapter 1, Time Series Analysis (Tamás Vadász) discusses some important concepts such as cointegration (structural), vector autoregressive models, impulse-response functions, volatility modeling with asymmetric GARCH models, and news impact curves. Chapter 2, Fa ctor Models (Barbara Dömötör, Kata Váradi, Ferenc Illés) presents how a multifactor model can be built and implemented. With the help of a principal component analysis, five independent factors that explain asset returns are identified. For illustration, the Fama and French model is also reproduced on a real market dataset. Chapter 3, Forecasting Volume (Balázs Árpád Szűcs, Ferenc Illés) covers an intraday volume forecasting model and its implementation in R using data from the DJIA index. The model uses turnover instead of volume, separates seasonal components (U shape) from dynamic components, and forecasts these two individually. Chapter 4, Big Data – Advanced Analytics (Júlia Molnár, Ferenc Illés) applies R to access data from open sources, and performs various analyses on a large dataset. For illustration, K-means clustering and linear regression models are applied to big data. ...展开收缩
(系统自动生成,下载前可以参看下载内容)
下载文件列表
相关说明
- 本站资源为会员上传分享交流与学习,如有侵犯您的权益,请联系我们删除.
- 本站是交换下载平台,提供交流渠道,下载内容来自于网络,除下载问题外,其它问题请自行百度。
- 本站已设置防盗链,请勿用迅雷、QQ旋风等多线程下载软件下载资源,下载后用WinRAR最新版进行解压.
- 如果您发现内容无法下载,请稍后再次尝试;或者到消费记录里找到下载记录反馈给我们.
- 下载后发现下载的内容跟说明不相乎,请到消费记录里找到下载记录反馈给我们,经确认后退回积分.
- 如下载前有疑问,可以通过点击"提供者"的名字,查看对方的联系方式,联系对方咨询.