Statistical Models and Methods for Financial Markets (Springer Texts in Statistics) by Tze Leung Lai

by Tze Leung Lai

This book presents statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. Part I provides basic background in statistics, which includes linear regression and extensions to generalized linear models and nonlinear regression, multivariate analysis, likelihood inference and Bayesian methods, and time series analysis. It also describes applications of these methods to portfolio theory and dynamic models of asset returns and their volatilities. Part II presents advanced topics in quantitative finance and introduces a substantive-empirical modeling approach to address the discrepancy between finance theory and market data. It describes applications to option pricing, interest rate markets, statistical trading strategies, and risk management. Nonparametric regression, advanced multivariate and time series methods in financial econometrics, and statistical models for high-frequency transactions data are also introduced in this connection.

Genres: Finance

Paperback

First published January 1, 2008

About the author

Tze Leung Lai (Stanford University)

Reviews

[Yasiru · Rating 4 out of 5]

Decent reference with wide coverage, less useful as a textbook.

Revising my rating as the chapter on statistical arbitrage reads really well.