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Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program

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Category: Books
Harnessing the Power of Quantitative Techniques to Create a Winning Trading ProgramLars Kestner Quantitative Trading Strategies takes readers through the development and evaluation stages of today's most popular and market-proven technical trading...
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Nice application
Allmost 500 pages of packed information on major statistical methods used in modern finance. So many books are predictable; this one is different. It manages to cover each topic in the original style of the author: motivating, practical and full of examples with comments on the pitfalls of implementation.

The highpoints are (i) a comprehensive and illuminating review of GARCH models, (ii)new applications of PCA to the generation of robust, positive semi-definite covariance matrices (orthogonal GARCH) and to the analysis of volatility smiles and (iii) cointegration models with application to the design of hedge fund strategies. These are three areas where Carol Alexander not only shows her deep knowledge of previous research but has also made her own original contributions.

This book should be a must for MSc students in finance and economics. It should also be a useful intoductory guide to seasoned practitioners who will benefit from its numerous and up to date references. The CD alone with its databases and numerous working examples is worth ten times the price of the book.

This review is the subjective opinion of an Investimonials member and not of Investimonials LLC
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This review is the subjective opinion of an Investimonials.com member and not of Investimonials LLC.
MachTrader Denver, Co

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