Use of quantitative data, especially in financial markets, may provide rapid results due to the ease-of-use and availability of fast computational software, but this book advises caution and helps to understand and avoid potential pitfalls.
It deals with often underestimated issues related to the use of financial quantitative data, such as non-stationarity issues, accuracy issues and modeling issues. It provides practical remedies or ways to develop new calculation methodologies to avoid pitfalls in using data, as well as solutions for risk management issues in financial market.
The book is intended to help professionals in financial industry to use quantitative data in a safer way.
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1 | (14) |
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1.1 Data: Quantitative Versus Qualitative |
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1 | (1) |
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1.2 Measure: Exact, or Not? |
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2 | (2) |
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1.3 Differences, Spreads, and Percentages |
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4 | (1) |
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5 | (1) |
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1.5 Usual Statistics on Data in Probabilistic Time Series |
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6 | (9) |
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2 A Major Problem in Using Time Series of Data: Stationarity |
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15 | (4) |
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2.1 A Preliminary Issue: The Case of Data Frequency |
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15 | (4) |
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3 Another Major Problem in Using Time Series of Data: The Accuracy of the Statistical Measures |
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19 | (10) |
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3.1 Confidence Interval and Standard Error |
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19 | (4) |
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23 | (2) |
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25 | (1) |
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3.4 A Simplified Alternative to the Use of Confidence Interval or Standard Error |
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26 | (3) |
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29 | (22) |
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29 | (1) |
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4.2 Modeling the Behavior of a Market and Related Valuation Models |
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29 | (2) |
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4.3 Modeling Derivatives Prices |
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31 | (7) |
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4.4 Using the ARCH Family of Processes in Derivatives Modeling |
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38 | (1) |
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4.5 Modeling Credit Derivatives Prices |
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39 | (2) |
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4.6 Use of Non-Gaussian Distributions in Modeling |
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41 | (2) |
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4.7 Use of Non-Gaussian Distributions in Modeling: A Step Further |
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43 | (1) |
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4.8 Other Potential Troubles with Derivatives Valuation |
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44 | (3) |
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4.9 Algorithms: Quantitative ("Algorithmic") Trading Models |
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47 | (3) |
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4.10 As a Conclusion to This
Chapter: Issues About Modeling |
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50 | (1) |
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5 Financial Data: Some Risk Management Issues |
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51 | (10) |
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5.1 Using the Volatility Measure of Losses, That Is, of Negative Returns |
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51 | (1) |
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5.2 The Time's Arrow Matters: The "Accrued Returns Variability" Measure |
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52 | (3) |
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5.3 The Case of the Controversial VaR ("Value at Risk") Measure |
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55 | (6) |
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61 | |
Alain Ruttiens is a former banker who has worked with major banks, beginning his career with Banque Indosuez (Belgium) and ending it as director of the Financial Engineering Department at CBC Banque (Brussels, an affiliate of KBC Bank). He is the founding partner of NEURON sàrl (Luxembourg), a consulting firm specialized in financial markets and funds management. He is also an Affiliate Professor at the Ecole Supérieure de Commerce de Paris (France) and teaches or has taught at several universities and institutions, including the HEC Paris, Sorbonne University of Paris I, the Institut dEtudes Politiques (Paris), the CSVG (Vietnam) and the Ecole Supérieure des Affaires, Beirut (Lebanon). Alain is the author of several books and research papers.
