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Quantitative Trading with R: Understanding Mathematical and Computational Tools from a Quant’s Perspective
Quantitative Finance with R offers a winning strategy for devising expertly-crafted and workable trading models using the R open source programming language, providing readers with a step-by-step approach to understanding complex quantitative finance problems and building functional computer code.
- GenresFinance
289 pages, Hardcover
First published January 6, 2015
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Displaying 1 - 6 of 6 reviews
November 1, 2023
An overview of how the programming language R can be used within stock and options trading environments, with good working examples of financial markets data and its ensuing analysis. About half of the included hyperlinks do not work anymore.
Chapters 1 to 5 can be condensed into 2 chapters, as they are overly verbose, and which by the way also contain minor misconceptions on probability and statistics.
The chapter on Options is particularly poor: rather than giving a treatment on working with options data, it gives a textbook repetition of the Black-Scholes formula cum examples.
The chapter on Optimisation in contrast could benefit from an expansion as the topic is far broader than is presented in this book. Also, it should have been called Portfolio optimisation to distinguish it from R-program optimisation. A chapter on R-program improvements, ie the final chapter, is thankfully included, though the chapter as a whole requires some textual polishing. Additionally, this chapter could have benefited from a description of common pitfalls, caveats and best practices.
Although the book is relatively honest about its scope and subject matter, as a reader I do not find myself being taken seriously at all times.
Chapters 1 to 5 can be condensed into 2 chapters, as they are overly verbose, and which by the way also contain minor misconceptions on probability and statistics.
The chapter on Options is particularly poor: rather than giving a treatment on working with options data, it gives a textbook repetition of the Black-Scholes formula cum examples.
The chapter on Optimisation in contrast could benefit from an expansion as the topic is far broader than is presented in this book. Also, it should have been called Portfolio optimisation to distinguish it from R-program optimisation. A chapter on R-program improvements, ie the final chapter, is thankfully included, though the chapter as a whole requires some textual polishing. Additionally, this chapter could have benefited from a description of common pitfalls, caveats and best practices.
Although the book is relatively honest about its scope and subject matter, as a reader I do not find myself being taken seriously at all times.
July 13, 2019
So so book, quite disappointing
May 21, 2016
สารภาพว่าอ่านเล่มนี้ไม่จบ เท่าที่ได้อ่านถึงบทที่ 7 เป็นหนังสือที่สอนการใช้ R เบื้องต้นไปจนถึงระดับที่สามารถสร้าง HFT แบบง่ายๆ ได้ บทแรกๆ สอนพื้นฐานของ R และความรู้ด้านสถิติ หลังจากนั้นบทที่ 6 และ 7 เริ่มเข้าถึงเรื่องระบบเทรดแล้ว แต่หลังจากเปลี่ยนภาษาจาก R ไปเป็น Python ก็เลยเลิกอ่านบทท้ายๆ ไป
แต่เล่มนี้ผมว่าเหมาะมากสำหรับคนที่อยากฝึก R เพื่อใช้ทำระบบเทรดเบื้องต้น เล่มเดียวจบครับ เนื้อหารวบรัดดี
แต่เล่มนี้ผมว่าเหมาะมากสำหรับคนที่อยากฝึก R เพื่อใช้ทำระบบเทรดเบื้องต้น เล่มเดียวจบครับ เนื้อหารวบรัดดี
October 6, 2016
Very good.
Basically it is an introduction to R using finance for examples. If you don't know R and are interested in finance then this book will provide a concise and enjoyable introduction to R.
The source code is available on github. There are some errors in the book and code (not using lag.xts() as opposed to lag() crashing quantmod examples is one) but they are easily recognizable.
Basically it is an introduction to R using finance for examples. If you don't know R and are interested in finance then this book will provide a concise and enjoyable introduction to R.
The source code is available on github. There are some errors in the book and code (not using lag.xts() as opposed to lag() crashing quantmod examples is one) but they are easily recognizable.
February 10, 2015
This is the book I was waiting for! Finally, a comprehensive introduction to using R for quant trading.
July 10, 2015
Very basic, does not cover many many aspects, so needs to be renamed to "Introduction to R".
Displaying 1 - 6 of 6 reviews