Statistical Analysis of Financial Data: With Examples in R - Couverture rigide

Gentle, James E.

Couverture rigide

ISBN 10 : 1138599492 ISBN 13 : 9781138599499

Editeur : CRC Press, 2020

Synopsis

Statistical Analysis of Financial Data covers the use of statistical analysis and the methods of data science to model and analyze financial data. The first chapter is an overview of financial markets, describing the market operations and using exploratory data analysis to illustrate the nature of financial data. The software used to obtain the data for the examples in the first chapter and for all computations and to produce the graphs is R. However discussion of R is deferred to an appendix to the first chapter, where the basics of R, especially those most relevant in financial applications, are presented and illustrated. The appendix also describes how to use R to obtain current financial data from the internet.

Chapter 2 describes the methods of exploratory data analysis, especially graphical methods, and illustrates them on real financial data. Chapter 3 covers probability distributions useful in financial analysis, especially heavy-tailed distributions, and describes methods of computer simulation of financial data. Chapter 4 covers basic methods of statistical inference, especially the use of linear models in analysis, and Chapter 5 describes methods of time series with special emphasis on models and methods applicable to analysis of financial data.

Features

* Covers statistical methods for analyzing models appropriate for financial data, especially models with outliers or heavy-tailed distributions.

* Describes both the basics of R and advanced techniques useful in financial data analysis.

* Driven by real, current financial data, not just stale data deposited on some static website.

* Includes a large number of exercises, many requiring the use of open-source software to acquire real financial data from the internet and to analyze it.

A propos du livre

À propos de l'auteur

James E. Gentle is University Professor Emeritus at George Mason University. He is a Fellow of the American Statistical Association (ASA) and of the American Association for the Advancement of Science. He is author of Random Number Generation and Monte Carlo Methods and Matrix Algebra.

À propos de la quatrième de couverture

The book is about financial data - security prices and prices of derivatives, and the statistical methods for analyzing such data. It covers statistical models of branching processes, linear discrete time series models, and continuous-time stochastic models, all at an intermediate level (advanced undergraduate or beginning graduate).

Détails de l'édition

• Éditeur: CRC Press
• Date d'édition: 2020
• Langue: anglais
• ISBN 10: 1138599492
• ISBN 13: 9781138599499
• Reliure: Relié
• Nombre de pages: 645
• Coordonnées du fabricant: non disponible
• Personne responsable: gpsr@libri.de; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Allemagne