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R for Programmers : Quantitative Investment Applications.

Author: Dan Zhang
Publisher: Boca Raton : Chapman and Hall/CRC, 2018.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Zhang, Dan
R for Programmers : Quantitative Investment Applications
Boca Raton : Chapman and Hall/CRC,c2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Dan Zhang
ISBN: 9781498736909 1498736904
OCLC Number: 1034577430
Notes: Description based upon print version of record.
Description: 1 online resource (387 p.)
Contents: Cover; Half Title; Title Page; Copyright Page; Contents; Foreword; Preface; Acknowledgments; Author; SECTION I: FINANCIAL MARKET AND FINANCIAL THEORY; 1 Financial Market Overview; 1.1 R for Quantification; 1.2 How Algorithms Change Fate; 1.3 FinTech, the Booming Sector in Finance Field; 1.4 Quantitative Investment Tools in China; 1.5 Low-Risk Trading Strategy in China; 2 Financial Theory; 2.1 R Interpretation of Capital Asset Pricing Model (CAPM); 2.2 R Interpretation of Simple Linear Regression Model; 2.3 R Interpretation of Multiple Linear Regression Model 2.4 R Interpretation of Autoregression ModelSECTION II: DATA PROCESSING AND HIGH PERFORMANCE COMPUTING OF R; 3 Data Processing of R; 3.1 Family of apply Functions; 3.2 Ultra-High Performance Data Processing Package: data.table; 3.3 Efficient Pipe Operation of R: magrittr; 3.4 String Processing Package of R: stringr; 3.5 Chinese Words Segmentation Package of R: jiebaR; 4 High Performance Computing of R; 4.1 OpenBlas Speeds Up Matrix Calculation of R; 4.2 R Calls C++ across Boundary; 4.3 When R Meets Docker; SECTION III: FINANCIAL STRATEGY PRACTICE; 5 Bonds and Repurchase; 5.1 Treasury Bonds 5.2 Enterprise Bonds and the Arbitrage5.3 Convertible Bonds Arbitrage Practice; 5.4 Reverse Repurchase with Risk-Free Financial Instruments; 6 Quantitative Investment Strategy Cases; 6.1 Mean Reversion, the Investment Opportunity against Market; 6.2 Build Quantitative Trading Model of Upswing Buying and Downswing Selling with R; 6.3 Build Quantitative Model of Pairs Trading with R; 6.4 Fund Accounting System Design and Implementation; 6.5 Data Interpretation of Machine Gene Investment; Epilogue; Appendix: Docker Installation in Ubuntu; Index

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