Author Description

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 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 Applied Quantitative Methods For Trading And Investment; Contents; About The Contributors; Preface; 1 Applications Of Advanced Regression Analysis For Trading And Investment; Abstract; 1.1 Introduction; 1.2 Literature Review; 1.3 The Exchange Rate And Related Financial Data; 1.4 Benchmark Models: Theory And Methodology; 1.5 Neural Network Models: Theory And Methodology; 1.6 Forecasting Accuracy And Trading Simulation; 1.7 Concluding Remarks; References; 2 Using Cointegration To Hedge And Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time Series Modelling And Cointegration 2.3 Implicit Hedging Of Unknown Common Risk Factors2.4 Relative Value And Statistical Arbitrage; 2.5 Illustration Of Cointegration In A Controlled Simulation; 2.6 Application To International Equities; 2.7 Discussion And Conclusions; References; 3 Modelling The Term Structure Of Interest Rates: An Application Of Gaussian Affine Models To The German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background Issues On Asset Pricing; 3.3 Duffie-kan Affine Models Of The Term Structure; 3.4 A Forward Rate Test Of The Expectations Theory; 3.5 Identification 3.6 Econometric Methodology And Applications3.7 Estimation Results; 3.8 Conclusions; References; 4 Forecasting And Trading Currency Volatility: An Application Of Recurrent Neural Regression And Model Combination; Abstract; 4.1 Introduction; 4.2 The Exchange Rate