Skip to main content Accessibility help
×
Hostname: page-component-78c5997874-m6dg7 Total loading time: 0 Render date: 2024-11-09T08:54:28.976Z Has data issue: false hasContentIssue false

References

Published online by Cambridge University Press:  20 October 2016

Mark J. Bennett
Affiliation:
University of Chicago
Dirk L. Hugen
Affiliation:
University of Iowa
Get access

Summary

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Chapter
Information
Financial Analytics with R
Building a Laptop Laboratory for Data Science
, pp. 372 - 375
Publisher: Cambridge University Press
Print publication year: 2016

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Ang, A., Bekaert, G. (2003). How Do Regimes Affect Asset Allocation? NBER Working Paper No. 10080, November. www.nber.org/papers/w10080.pdf
Ang, A., Bekaert, G. (2004). How Regimes Affect Asset Allocation. Financial Analysts Journal 60 (2).Google Scholar
Becker, R., Chambers, J., Wilks, A. (1988). The New S Language: A Programming Environment for Data Analysis and Graphics. Pacific Grove, CA, USA:Wadsworth and Brooks/Cole. ISBN 0-534-09192-X.
Benedict, N., Brewer, J., Haddad, A. (2015). Mean-Variance Optimization for Equity Portfolios, MSc capstone project, Graduate Program in Analytics, University of Chicago, June.
Bennett, M. J. (1986). Proving Correctness of Asynchronous Circuits Using Temporal Logic, UCLA Computer Science Department, Ph.D. Thesis. http://ftp.cs.ucla.edu/ tech-report/198_-reports/860089.pdf
Bennett, M. (2009). Accelerated Root Finding for Computational Finance. Symposium on Application Accelerators in High-Performance Computing (SAAHPC'09), July 28–30, Urbana, Illinois, http://saahpc.ncsa.illinois.edu/09/papers/Bennett_paper.pdf
Bennett, M. J. (2014). Data Mining with Markowitz Portfolio Optimization in Higher Dimensions, May 21, http://ssrn.com/abstract=2439051.
Black, F., Myron, S. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81 (3): pp. 637–54.Google Scholar
Bodie, Z., Kane, A., Marcus, A. (2013). Investments, Tenth Edition. McGraw-Hill, September.
Box, G. E. P., Cox D. R. (1964). An Analysis of Transformations. Journal of the Royal Statistical Society. Series B (Methodological) 26 (2): pp. 211–52.Google Scholar
Breiman, L., Friedman, J. H., Olshen, R. A., Stone, C. J. (1984). Classification and Regression Trees. Belmont, CA: Wadsworth.
Brin, S., Page, L. (1998). Anatomy of a Large-Scale Hypertextual Web Search Engine, Proceedings of the Intl. World-Wide-Web Conference, pp. 107–17.
Bruder, B., Gaussel, N., Richard, J-C., Roncalli, T. (2013). Regularization of Portfolio Allocation. Lyxor Research, June.
Bystrom, H. (2013). Movie Recommendations from User Ratings, http://cs229.stanford. edu/proj2013/Bystrom-MovieRecommendationsFromUserRatings.pdf, Stanford University.
Carmona, R. (2004). Statistical Analysis of Financial Data in S-Plus, Springer Texts in Statistics. New York: Springer, ISBN 0387-20286-2.
Chamberlin, D. D., Boyce, R. F. SEQUEL: A Structured English Query Language. Proc. ACM SIGMOD Workshop on Data Description, Access and Control, Ann Arbor, Michigan (May 1974), pp. 249–64. ACE and Chubb Are Now One, http://new.chubb.com/en/us/?utm_source=brand_announcement&utm_medium=Q1&utm_term=SEM&utm_content=Google&utm_campa ign=Brand_Announce_US_EN_2016
Clarke, E. M., Emerson, E. A. (1981). Design and Synthesis of Synchronization Skeletons Using Branching Time Temporal Logic, Proceedings of Workshop on Logic of Programs, pp. 52–71.
Colmerauer, A., Roussel, P. (1983). The Birth of Prolog. ACM SIGPLAN Notices 28 (3): p. 37.Google Scholar
Cryer, J. D., Chan, K. S. (2010). Time Series Analysis with Applications in R. Springer.
Damodaran, A. Notes from New York University Stern School of Business, http://pages.stern.nyu.edu/∼adamodar/New_Home_Page/invfables/pricepatterns.htm
Eddelbuettel, D. (2013). Seamless R and C++ Integration with Rcpp. New York: Springer, 2013, ISBN 978-1461468677.
Eddelbuettel, D., Sanderson, C. (2014). RcppArmadillo: Accelerating R with High-Performance C++ Linear Algebra. Computational Statistics and Data Analysis, Volume 71, March 2014: pp. 1054–63. Google Scholar
Fairchild, G., Fries, J. (2012). Lecture Notes: Social Networks: Models, Algorithms, and Applications Lecture 3: January 24, http://homepage.cs.uiowa.edu/∼sriram/196/spring12/lectureNotes/Lecture3.pdf
Fama, E. F., French, K. R. (1995). Size and Book-to-Market Factors in Earnings and Returns. Journal of Finance, 50: pp. 131–55.Google Scholar
Fama, E. F., French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51: pp. 55–84.Google Scholar
Fletcher, T., Hussain, Z., Shawe-Taylor, J. (2010). Multiple Kernel Learning on the Limit Order Book. JMLR Proceedings, 11: pp. 167–74. http://jmlr.org/proceedings/papers/v11/fletcher10a/fletcher10a.pdf Google Scholar
Fletcher, T. (2012). Machine Learning for Financial Market Prediction, Ph.D. Thesis, University College of London, http://discovery.ucl.ac.uk/1338146/1/1338146.pdf
Floyd, R. W. (1967). Assigning Meanings to Programs. Proceedings of the American Mathematical Society Symposia on Applied Mathematics, 19: pp. 19–31.Google Scholar
Forbes.com (2013). Tenet to Buy Vanguard Health Amid “Obamacare” M&A Frenzy, June 24.
Friedman, J., Hastie, T., Tibshirani, R. (2008). Sparse Inverse Covariance Estimation with the Graphical Lasso. Biostatistics 9: pp. 432–41.Google Scholar
Gareth, J., Witten, D., Hastie, T., Tibshirani, R. (2013). An Introduction to Statistical Learning. Springer.
GoogleFinance.com, Titanium Metals Corp (NYSE:TIE), December 7, 2014. www.google.com/finance?cid=660449
Goldfarb, D., Idnani, A. (1982). Dual and Primal-Dual Methods for Solving Strictly Convex Quadratic Programs. In J. P. Hennart (ed.), Numerical Analysis. Berlin: Springer-Verlag, pp. 226–39.
Goldfarb, D., Idnani, A. (1983). A Numerically Stable Dual Method for Solving Strictly Convex Quadratic Programs. Mathematical Programming. 27: pp. 1–33.Google Scholar
Greenblatt, J. (2006). The Little Book That Beats the Market, ISBN 0-471-73306-7.
Hamilton, J. D. (1994). Time Series Analysis, Princeton University Press.
Hartigan, J. A., Wong, M. A. (1979). Algorithm AS 136: A k-Means Clustering Algorithm. Journal of the Royal Statistical Society, Series C 28 (1): pp. 100–8. JSTOR 2346830.Google Scholar
Hastie, T., Tibshirani, R., Friedman, J. (2009). The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition. Springer, February 2009.
Haug, E. G. (1998). The Complete Guide to Option Pricing Formulas. McGraw-Hill, ISBN 0-7863-1240-8.
Hoare, C. A. R. (1969). An Axiomatic Basis for Computer Programming. Communications of the ACM 12 (10): pp. 576–80, October.Google Scholar
Hogg, R. T., Craig, A. T. (1978). Introduction to Mathematical Statistics, Fourth Edition. Macmillan.
Hothorn, T., Hornik, K., Strobl, C., Zeileis, A. (2015). Party: A Laboratory for Recursive Partytioning. http://cran.r-project.org/web/packages/party/vignettes/party.pdf
Hull, J. (2006). Options, Futures, and Other Derivatives. Pearson/Prentice Hall.
Ihaka, R. (1998). R: Past and Future History (PDF) (Technical report). Statistics Department, The University of Auckland, Auckland, New Zealand.
Ito, K. (1951). On Stochastic Differential Equations. Memoirs, American Mathematical Society 4: pp. 1–51. www.jdsu.com/News-and-Events/news-releases/Pages/jdsu-announces-1-for-8-reverse-stock-split.aspx
Karoui, N. E. (2009). On the Realized Risk of High-Dimensional Markowitz Portfolios. Department of Statistics, UC Berkeley, October.
Kinlay, J. (2011). Can Machine Learning Techniques Be Used to Predict Market Direction? The 1,000,000 Model Test. Posted on web site March 17, www.trade2win.com/boards/attachments/metatrader/130540d1330423251-build-neural-network-indicator-mt4-using-neuroshell-million-model-test.pdf
Laber, E.B., Zhou, H. Notes for ST 810 Advanced Computing, Department of Statistics, North Carolina State University, February, 25, 2013, www.stat.ncsu.edu/people/zhou/courses/st810/notes/lect09QP.pdf.
Ledolter, J. (2013). Data Mining and Business Analytics with R. John Wiley, May. ISBN: 978-1-118-44714-7, 368 pages.
MacQueen, J. B. (1967). Some Methods for Classification and Analysis of Multivariate Observations. Proceedings of the 5th Berkeley Symposium on Mathematical Statistics and Probability 1, University of California Press, pp. 281–97.
Markowitz, H. M. (1952). Portfolio Selection. Journal of Finance 7 (1): pp. 77–91.Google Scholar
Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons. (Reprinted by Yale University Press, 1970, ISBN 978-0-300-01372-6.)
Morandat, F., Hill, B., Osvald, L., Vitek, J. (2012). Evaluating the Design of the R Language, ECOOP 2012-Object-Oriented Programming, 104-131, Lecture Notes in Computer Science 7313, Springer. Oracle Unveils the Oracle Big Data Appliance: New Engineered System Helps Customers Maximize the Value of Enterprise Big Data. Oracle Openworld, San Francisco, October 3, 2011. www.oracle.com/us/corporate/press/512001
Pearl, J. (1988). Probabilistic Reasoning in Intelligent Systems. San Francisco: Morgan Kaufmann.
Pennacchi, G. (2007). Theory of Asset Pricing. Prentice Hall.
Perlin, M. (2006). fMarkovSwitching: An R Package for Markov Regime Switching.
Pnueli, A. (1977). The Temporal Logic of Programs. 18th Annual Symposium on Foundations of Computer Science (SFCS 1977), IEEE, pp. 46–57.
R Development Core Team. (2011). R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing.
Ruppert, D. (2011). Statistics and Data Analysis for Financial Engineering, Springer Texts in Statistics. New York: Springer, ISBN 9781441977861.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19 (3), September 1964: pp. 425–42.Google Scholar
Sharpe, W. F., Alexander, G. J., Bailey, J. V. (1999). Investments, 6th Edition. Upper Saddle River, NJ: Prentice-Hall.
Shreve, S. (2004). Stochastic Calculus for Finance I, The Binomial Asset Pricing Model. New York: Springer.
Shreve, S. (2004). Stochastic Calculus for Finance II, Continuous Time Models. New York: Springer.
Shumway, R. H., Stoffer, D. S. (2006). Time Series Analysis, and Its Applications with R Examples. Springer.
Spechler, L. (2011). Reverse Stock Splits Are Usually Good for Investors: Report, Tuesday, March 22. www.cnbc.com/id/42212417jdsu-announces-1-for-8-reversestock-split.aspx
Swiss Move Roils Global Markets. The Wall Street Journal, January 16, 2015.
Tibshirani, R. (1996). Regression Shrinkage and Selection via the Lasso. Journal of the Royal Statistical Society, Series B 58: pp. 267–88.
Ullrich, C., Seese, D., Chalup, S. (2007). Foreign Exchange Trading with Support Vector Machines. In Advances in Data Analysis. Heidelberg, Berlin: Springer, pp. 539–46.
Venables, W. N., Ripley, B. D. (2002). Modern Applied Statistics with S, Fourth edition. Springer.
Whittaker, J. (1990). Graphical Models in Applied Multivariate Statistics. John Wiley, January, ISBN: 978-0-471-91750-2, 466 pages.
Zhao, T., Liu, H., Roeder, K., Lafferty, J., Wasserman, L. (2012). The Huge Package for High- Dimensional Undirected Graph Estimation in R. Journal of Machine Learning Research 13: pp. 1059–62, April.Google Scholar

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

  • References
  • Mark J. Bennett, University of Chicago, Dirk L. Hugen, University of Iowa
  • Book: Financial Analytics with R
  • Online publication: 20 October 2016
  • Chapter DOI: https://doi.org/10.1017/CBO9781316584460.018
Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

  • References
  • Mark J. Bennett, University of Chicago, Dirk L. Hugen, University of Iowa
  • Book: Financial Analytics with R
  • Online publication: 20 October 2016
  • Chapter DOI: https://doi.org/10.1017/CBO9781316584460.018
Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • References
  • Mark J. Bennett, University of Chicago, Dirk L. Hugen, University of Iowa
  • Book: Financial Analytics with R
  • Online publication: 20 October 2016
  • Chapter DOI: https://doi.org/10.1017/CBO9781316584460.018
Available formats
×