Use R to optimize your trading strategy and build up your own risk management system
R is a powerful open source functional programming language that provides high level graphics and interfaces to other languages. Its strength lies in data analysis, graphics, visualization, and data manipulation. R is becoming a widely used modeling tool in science, engineering, and business.
The book is organized as a step-by-step practical guide to using R. Starting with time series analysis, you will also learn how to forecast the volume for VWAP Trading. Among other topics, the book covers FX derivatives, interest rate derivatives, and optimal hedging. The last chapters provide an overview on liquidity risk management, risk measures, and more.
The book pragmatically introduces both the quantitative finance concepts and their modeling in R, enabling you to build a tailor-made trading system on your own. By the end of the book, you will be well versed with various financial techniques using R and will be able to place good bets while making financial decisions.
What You Will Learn
Analyze high frequency financial data
Build, calibrate, test, and implement theoretical models such as cointegration, VAR, GARCH, APT, Black-Scholes, Margrabe, logoptimal portfolios, core-periphery, and contagion
Solve practical, real-world financial problems in R related to big data, discrete hedging, transaction costs, and more.
Discover simulation techniques and apply them to situations where analytical formulas are not available
Create a winning arbitrage, speculation, or hedging strategy customized to your risk preferences
Understand relationships between market factors and their impact on your portfolio
Assess the trade-off between accuracy and the cost of your trading strategy
Downloading the example code for this book. You can download the example code files for all Packt books you have purchased from your account at http://www.PacktPub.com. If you purchased this book elsewhere, you can visit http://www.PacktPub.com/support and register to have the files e-mailed directly to you.