Download e-book for iPad: Applied Quantitative Methods for Trading and Investment by Christian L. Dunis, Jason Laws, Patrick Naïm

By Christian L. Dunis, Jason Laws, Patrick Naïm

ISBN-10: 0470848855

ISBN-13: 9780470848852

Except you already are within the alternate otherwise you are looking to write your individual buying and selling programmes, please provide this a go. This quantitative research dependent booklet is well past these with out very robust facts and programming services. Sorry to inform you that as an MBA, CFA professional dealer, i'll snatch at so much 30% of the modeling options defined. definitely the CDROM bundled did support. despite the fact that, I doubt what number readers could have that endurance and source to assemble and enter the information wanted.

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Gonzalez-Martel and S. Sosvilla-Rivero (2000), “On the Profitability of Technical Trading Rules Based on Artificial Neural Networks: Evidence from the Madrid Stock Market”, Economics Letters, 69, 89–94. Fishman, M. , D. S. Barr and W. J. Loick (1991), “Using Neural Nets in Market Analysis”, Technical Analysis of Stocks and Commodities, 9, 4, 135–138. Gen¸cay, R. (1999), “Linear, Non-linear and Essential Foreign Exchange Rate Prediction with Simple Technical Trading Rules”, Journal of International Economics, 47, 91–107.

J. G. Lisboa and M. J. Taylor (eds), Techniques and Applications of Neural Networks, Ellis Horwood, Hemel Hempstead, pp. 109–116. Shapiro, A. F. (2000), “A Hitchhiker’s Guide to the Techniques of Adaptive Nonlinear Models”, Insurance, Mathematics and Economics, 26, 119–132. Thomas, R. L. (1997), Modern Econometrics. An Introduction, Addison-Wesley, Harlow. Tyree, E. W. and J. A. html). , H. Poh and T. html). , Y. Li and C. L. Tan (1997), “Forecasting the Exchange Rates of CHF vs USD Using Neural Networks”, Journal of Computational Intelligence in Finance, 15, 2, 7–13.

19 For a full discussion on these measures, refer to Hanke and Reitsch (1998) and Pindyck and Rubinfeld (1998). We also include correct directional change (CDC), which measures the capacity of a model to correctly predict the subsequent actual change of a forecast variable, an important issue in a trading strategy that relies on the direction of a forecast rather than its level. 16. 2 Out-of-sample trading performance measures Statistical performance measures are often inappropriate for financial applications.

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Applied Quantitative Methods for Trading and Investment by Christian L. Dunis, Jason Laws, Patrick Naïm


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