The book covers a wide range of topics, yet essential, in
Computational Finance (CF), understood as a mix of Finance,
Computational Statistics, and Mathematics of Finance. In that
regard it is unique in its kind, for it touches upon the basic
principles of all three main components of CF, with hands-on
examples for programming models in R. Thus, the first chapter gives
an introduction to the Principles of Corporate Finance: the markets
of stock and options, valuation and economic theory, framed within
Computation and Information Theory (e.g. the famous Efficient
Market Hypothesis is stated in terms of computational complexity, a
new perspective). Chapters 2 and 3 give the necessary tools of
Statistics for analyzing financial time series, it also goes in
depth into the concepts of correlation, causality and clustering.
Chapters 4 and 5 review the most important discrete and continuous
models for financial time series. Each model is provided with an
example program in R. Chapter 6 covers the essentials of Technical
Analysis (TA) and Fundamental Analysis. This chapter is suitable
for people outside academics and into the world of financial
investments, as a primer in the methods of charting and analysis of
value for stocks, as it is done in the financial industry.
Moreover, a mathematical foundation to the seemly ad-hoc methods of
TA is given, and this is new in a presentation of TA. Chapter 7
reviews the most important heuristics for optimization: simulated
annealing, genetic programming, and ant colonies (swarm
intelligence) which is material to feed the computer savvy readers.
Chapter 8 gives the basic principles of portfolio management,
through the mean-variance model, and optimization under different
constraints which is a topic of current research in computation,
due to its complexity. One important aspect of this chapter is that
it teaches how to use the powerful tools for portfolio analysis
from the RMetrics R-package. Chapter 9 is a natural continuation of
chapter 8 into the new area of research of online portfolio
selection. The basic model of the universal portfolio of Cover and
approximate methods to computeare alsodescribed."
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