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An Introduction to Analysis of Financial Data with R
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An Introduction to Analysis of Financial Data with R
$29199
Unit price
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Book Hero Magic created this recommendation. While it's new and still learning, it may not be perfect - your feedback is welcome! IS THIS YOUR NEXT READ?
A complete set of statistical tools for beginning financial analysts from a leading authority Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data.
Book Hero Magic formatted this description to make it easier to read. While it's new and
still learning, it may not be perfect - your
feedback is welcome!
Description
A complete set of statistical tools for beginning financial analysts from a leading authority
Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualisation of financial data. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research.
The author provides a hands-on introduction to the analysis of financial data using the freely available R software package and case studies to illustrate actual implementations of the discussed methods. The book begins with the basics of financial data, discussing their summary statistics and related visualisation methods. Subsequent chapters explore basic time series analysis and simple econometric models for business, finance, and economics as well as related topics including:
- Linear time series analysis, with coverage of exponential smoothing for forecasting and methods for model comparison
- Different approaches to calculating asset volatility and various volatility models
- High-frequency financial data and simple models for price changes, trading intensity, and realised volatility
- Quantitative methods for risk management, including value at risk and conditional value at risk
- Econometric and statistical methods for risk assessment based on extreme value theory and quantile regression
Throughout the book, the visual nature of the topic is showcased through graphical representations in R, and two detailed case studies demonstrate the relevance of statistics in finance. A related website features additional data sets and R scripts so readers can create their own simulations and test their comprehension of the presented techniques.
An Introduction to Analysis of Financial Data with R is an excellent book for introductory courses on time series and business statistics at the upper-undergraduate and graduate level. The book is also an excellent resource for researchers and practitioners in the fields of business, finance, and economics who would like to enhance their understanding of financial data and today's financial markets.
Series: Wiley Series in Probability and Statistics
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Book Hero Magic summarised reviews for this book. While it's new and still learning, it may not be perfect - your feedback is welcome! HOW HAS THIS BEEN REVIEWED?
An Introduction to Analysis of Financial Data with R by Ruey S. Tsay is praised for its blend of theory and practical programming examples, making it a beneficial resource for R programmers and financial analysts. The book is noted for its coherent structure and serves as a contemporary reference for using open-source programming in financial analysis. It is suitable both as a textbook and for self-study, thanks to its real-world examples and chapter exercises.
Book Details
INFORMATION
ISBN: 9780470890813
Publisher: John Wiley & Sons Inc
Format: Hardback
Date Published: 07 December 2012
Country: United States
Imprint: John Wiley & Sons Inc
Illustration: Tables: 100 B&W, 0 Color; Graphs: 140 B&W, 0 Color
Audience: Professional and scholarly
DIMENSIONS
Spine width: 28.0mm
Width: 165.0mm
Height: 234.0mm
Weight: 726g
Pages: 416
About the Author
RUEY S. TSAY, PhD, is H.G.B. Alexander Professor of Econometrics and Statistics at The University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and Academia Sinica, Dr. Tsay is author of Analysis of Financial Time Series, Third Edition and coauthor of A Course in Time Series Analysis.
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