Optimal Mean Reversion Trading Mathematical Analysis And Practical Applications
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Optimal Mean Reversion Trading
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Author : Tim Leung (Professor of industrial engineering)
language : en
Publisher: World Scientific
Release Date : 2015-11-26
Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-26 with Business & Economics categories.
"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--
Optimal Mean Reversion Trading Mathematical Analysis And Practical Applications
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Author : Tim Siu-tang Leung
language : en
Publisher: World Scientific
Release Date : 2015-11-26
Optimal Mean Reversion Trading Mathematical Analysis And Practical Applications written by Tim Siu-tang Leung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-26 with Business & Economics categories.
Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives.This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.
Optimal Mean Reversion Trading
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Author : Tim Leung
language : en
Publisher:
Release Date : 2019
Optimal Mean Reversion Trading written by Tim Leung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This book provides a systematic study on the optimal timing of trades in markets with mean-reverting price dynamics. We present a financial engineering approach that distills the core mathematical questions from different trading problems, and also incorporates the practical aspects of trading, such as model estimation, risk premia, risk constraints, and transaction costs, into our analysis. Self-contained and organized, the book not only discusses the mathematical framework and analytical results for the financial problems, but also gives formulas and numerical tools for practical implementation. A wide array of real-world applications are discussed, such as pairs trading of exchange-traded funds, dynamic portfolio of futures on commodities or volatility indices, and liquidation of options or credit risk derivatives.A core element of our mathematical approach is the theory of optimal stopping. For a number of the trading problems discussed herein, the optimal strategies are represented by the solutions to the corresponding optimal single/multiple stopping problems. This also leads to the analytical and numerical studies of the associated variational inequalities or free boundary problems. We provide an overview of our methodology and chapter outlines in the Introduction.Our objective is to design the book so that it can be useful for doctoral and masters students, advanced undergraduates, and researchers in financial engineering/mathematics, especially those who specialize in algorithmic trading, or have interest in trading exchange-traded funds, commodities, volatility, and credit risk, and related derivatives. For practitioners, we provide formulas for instant strategy implementation, propose new trading strategies with mathematical justification, as well as quantitative enhancement for some existing heuristic trading strategies.
Ict For Education Development And Social Justice
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Author : Charalambos Vrasidas
language : en
Publisher: IAP
Release Date : 2009-03-01
Ict For Education Development And Social Justice written by Charalambos Vrasidas and has been published by IAP this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03-01 with Education categories.
This volume provides examples of current developments on the role of ICT for education, development, and social justice within an international context. Chapters draw on advanced contemporary thinking from scholars and practitioners in the field to present case studies of how ICT can be used to promote sustainable development and social justice. Social justice is understood in a wide sense as the pursuit of democracy, justice and development in the struggle against any form of oppression; it is within this context that ICT is explored as a tool for social change. The objectives of this book are: - To analyze the philosophical, historical, political, and cultural backgrounds and contexts that are constitutive of contemporary challenges and tensions in the role of ICT for education, development, and social justice around the world; - To appreciate the contextual and international dimensions of the tensions and challenges faced by educators around the world and contribute to ongoing efforts to sketch a vision for addressing their needs; - To explore ways in which ICT in education can promote social justice and contribute toward sustaining communities around the world
A Novel Micro Mechanical Model For Prediction Of Multiaxial High Cycle Fatigue At Small Scales
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Author : Eslami, Reza
language : en
Publisher: KIT Scientific Publishing
Release Date : 2017-05-03
A Novel Micro Mechanical Model For Prediction Of Multiaxial High Cycle Fatigue At Small Scales written by Eslami, Reza and has been published by KIT Scientific Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-03 with categories.
Pairs Trading
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Author : Ganapathy Vidyamurthy
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-02
Pairs Trading written by Ganapathy Vidyamurthy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-02 with Business & Economics categories.
The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Global City Challenges
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Author : M. Acuto
language : en
Publisher: Springer
Release Date : 2013-10-31
Global City Challenges written by M. Acuto and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-31 with Political Science categories.
The contributors illustrate what twin analytical and practical challenges emerge from juxtaposing cultural, economic, historical, postcolonial, virtual, architectural, literary, security and political stances to the concept of the 'global city'.
Global Venture Capital Transactions
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Author : Beat Brechbühl
language : en
Publisher: Kluwer Law International B.V.
Release Date : 2004-01-01
Global Venture Capital Transactions written by Beat Brechbühl and has been published by Kluwer Law International B.V. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-01 with Business & Economics categories.
The venture capital and private equity industries are among the most characteristic and visible segments of today's global economy. As we approach the midpoint of the first decade of the 21st century, these industries have clearly matured and left behind the much-publicized excesses of the 1990s. It is now incumbent upon practitioners to thoroughly understand the legal structure of venture capital transactions, not only in their own country but also'due to the typically cross-border nature of such transactions'in numerous jurisdictions worldwide. This very useful book has been prepared under the auspices of the International Association of Young Lawyers (AIJA) following a working session held in Edinburgh in August 2003. It provides practitioners with the first overview of the legal requirements attached to venture capital transactions in a variety of jurisdictions, encompassing both developed and developing nations. An introductory chapter presents a global view, addressing venture capital issues that tend to arise under any legal circumstances. Then, for each of twelve countries, an experienced practitioner in the venture capital field offers detailed discussions of his or her country's legal system as it pertains to the protection of investors' rights and company's investments, regulatory issues, and enforcement. Specific topics discussed where applicable for each country include: documentation; due diligence; valuation standards; representations and warranties; intellectual property; compensation of key personnel; disclosure; exit strategy; corporate governance roles; tax issues; securities law requirements; restrictions on foreign direct investment; and availability of court orders. Global Venture Capital Transactions goes a long way to fulfilling the need of practitioners and entrepreneurs to structure cross-border venture capital transactions that are not only initially successful but enjoy continued profitability with the strength to overcome inevitable obstacles. It will be warmly welcomed by the venture capital and private equity community throughout the world.
Culture Communication And Cyberspace
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Author : Kirk St. Amant
language : en
Publisher: Taylor & Francis
Release Date : 2017-07-05
Culture Communication And Cyberspace written by Kirk St. Amant and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-05 with Computers categories.
The increasingly global nature of the World Wide Web presents new challenges and opportunities for technical communicators who must develop content for clients or colleagues from other cultures and in other nations. As international online access grows, technical communicators will encounter a range of challenges related to culture and communication in cyberspace. These challenges include how to design content and develop services for online distribution to a culturally diverse audience of users; how to address cultural and linguistic factors effectively when collaborating with international colleagues and clients via online media; and how to develop effective online teaching and training practices and materials for use in learning environments comprised of culturally diverse groups of students. The contributors to Culture, Communication and Cyberspace examine these challenges through chapters that explore the different aspects of international online communication. The contributing authors use a range of methodologies to review a variety of topics related to culture and communication in cyberspace. In so doing, the authors also examine how business trends, such as international outsourcing, content management, and the use of open source software (OSS), are affecting and could change practices in the field of technical communication as related to online cross-cultural interactions.
Pressure Vessel Design The Direct Route
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Author : Josef L Zeman
language : en
Publisher: Elsevier
Release Date : 2006-06-23
Pressure Vessel Design The Direct Route written by Josef L Zeman and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06-23 with Technology & Engineering categories.
This book explores a new, economically viable approach to pressure vessel design, included in the (harmonized) standard EN 13445 (for unfired pressure vessels) and based on linear as well as non-linear Finite Element analyses. It is intended as a supporting reference of this standard’s route, providing background information on the underlying principles, basic ideas, presuppositions, and new notions. Examples are included to familiarize readers with this approach, to highlight problems and solutions, advantages and disadvantages. * The only book with background information on the direct route in pressure vessel design. * Contains many worked examples, supporting figures and tables and a comprehensive glossary of terms.