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# [统计套利] Quantitative Trading with R   [分享]

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2019-11-30

RiverSide 发表于 2015-2-25 13:53:17 |显示全部楼层
Quantitative Trading with R  Harry Georgakopoulos

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Quantitative Trading with R_ Un - Harry Georgakopoulos.pdf (15.14 MB, 售价: 15 个论坛币)

Contents
List of Figures List of Tables Acknowledgments

1 An Overview The mission statement Financial markets and instruments Trading strategies High-frequency trading About the orderbook Trading automation Where to get data from Summary

2 Tools of the Trade The R language Getting started with R The c() object The matrix() object The data.frame() object The list() object The new.env() object Using the plot() function Functional programming Writing functions in R Branching and looping A recommended style guide A pairwise correlation example Summary

3 Working with Data Getting data into R Installing packages in R Storing and transmitting data Extracting data from a spreadsheet
10Accessing a database The dplyr package Using the xts package Using the quantmod package Charting with quantmod Graphing with ggplot2 Summary

4 Basic Statistics and Probability What is a statistic? Population versus sample Central Limit Theorem in R Unbiasedness and efficiency Probability basics Random variables Probabilities Probability distributions Bayes versus frequentist approach Simulations of coins On the use of RStan Summary

5 Intermediate Statistics and Probability Random process Stock price distributions Stationarity Determining stationarity with urca Assumptions of normality Correlation Filtering data R formulas The linear in linear regression Volatility Summary

6 Spreads, Betas and Risk Defining the stock spread Ordinary Least Squares versus Total Least Squares Constructing the spread Signal generation and validation Trading the spread Considering the risk More on the equity curve Strategy attributes
11Summary

7 Backtesting with Quantstrat Backtesting methodology About blotter and PerformanceAnalytics Initial setup The first strategy: A simple trend follower Backtesting the first strategy Evaluating the performance The second strategy: Cumulative Connors RSI Evaluating the mean-reverting strategy Summary

8 High-Frequency Data High-frequency quotes Inter-quote arrival times Identifying liquidity regimes The micro-price Distributions and autocorrelations The highfrequency package Summary

9 Options Option theoretical value A history of options Valuation of options Exploring options trade data Implied volatility Summary

10 Optimization The motivating parabola Newton’s method The brute-force approach R optimization routines A curve-fitting exercise Portfolio optimization Summary

11 Speed, Testing, and Reporting Runtime execution improvements Benchmarking R code The Rcpp solution Calling R from C++ with RInside Writing unit tests with testthat
12
Using knitr for documentation Summary
Notes References Index

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crystal8832 + 2 + 2 + 1 奖励积极上传好的资料
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fantuanxiaot 发表于 2015-2-25 14:10:55 |显示全部楼层

 新年快乐。谢谢分享。

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accumulation   发表于 2015-2-25 14:33:14 来自手机 |显示全部楼层
 RiverSide 发表于 2015-2-25 13:53 Quantitative Trading with R  Harry Georgakopoulos 书评： 量化领域书越来越多。这本书用R来描述量化投 ...谢谢分享！

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idlelife 发表于 2015-2-25 15:04:46 |显示全部楼层
 感谢楼主分享好书~

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beyondcj 发表于 2015-2-25 15:23:54 |显示全部楼层
 感谢楼主分享

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vermouth86 发表于 2015-2-25 16:46:08 |显示全部楼层
 学习学习。。。。

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wujohn1990 发表于 2015-2-25 17:07:40 |显示全部楼层
 感谢分享

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woaiwangqiao 发表于 2015-2-25 18:42:40 |显示全部楼层
 看看怎么样

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 谢谢分享，下来学习下。

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