Hedge Fund Modelling and Analysis E-Book

Paul Darbyshire

• Herausgeber: John Wiley & Sons
• Kategorie: Fachliteratur
• Serie: Wiley Finance Series
• Sprache: Englisch

Seitenzahl: 276

Veröffentlichungsjahr: 2016

Beschreibung

Use powerful C++ algorithms and Object Oriented Programming (OOP) to aid in hedge fund decision making Low interest rates, overcrowded markets and greater regulatory oversight are just some of the many reasons it is close to impossible for hedge funds to draw competitive returns. The solution for many hedge fund managers, quantitative investment analysts and risk managers is to adopt new technologies, platforms and programming languages to better manage their risks and maximise the benefits of their return profiles. Hedge Fund Modelling and Analysis is a full course in the latest analytic strategies for hedge fund investing, complete with a one-of-a-kind primer on both C++ and object oriented programming (OOP). Covering both basic and risk-adjusted performance measures, this practitioner's guide enables you to manage risk easily and make the most of key statistics with simple and advanced analysis techniques. This highly anticipated third book in the widely used Hedge Fund Modelling and Analysis series is the only guide available for applying the powerful C++ language to revolutionise hedge fund trading. Even if you've never worked with code before, the focused overview of C++ gives you everything you need to navigate the technical aspects of object oriented programming, which enables you to build sophisticated analysis programs from small units of reusable code. This book is your breakthrough introduction to winning with hedge funds in the new reality of trading. Jumpstart your new approach to beating the markets with: * All the guidance and hands-on support you need to use quantitative strategies to optimise hedge fund decision-making. * Illustrative modelling exercises and worked-out problems demonstrating what to expect when assessing risk and return factors in the real world. * A companion website offering additional C++ programs, algorithms and data to download. Make reading Hedge Fund Modelling and Analysis your new routine and gain all the insight and relevant information you need to beat the markets.

Leseprobe

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Hedge Fund Modelling and Analysis

An Object Oriented Approach Using C++

PAUL DARBYSHIRE DAVID HAMPTON

This edition first published 2017 © 2017 Paul Darbyshire and David Hampton

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Library of Congress Cataloging-in-Publication Data is available

A catalogue record for this book is available from the British Library.

ISBN 978-1-118-87957-3 (hbk) ISBN 978-1-118-87955-9 (ebk) ISBN 978-1-118-87956-6 (ebk) ISBN 978-1-118-87954-2 (ebk)

Cover Design: Wiley Cover Images: Top Image: ©iStock.com/agsandrew Bottom Image: ©iStock.com/Storman

Mum and Dad,

Whose love and support encourages me to achieve success.

– P.D.

For Marie-Christine, Juliette and Antoine.

– D.H.

CONTENTS

Preface

C++ Source Code

Hypothetical Hedge Fund Data

Book Website

Chapter 1: Essential C++

1.1 A Brief History of C and C++

1.2 A Basic C++ Program

1.3 Variables

1.4 Operators

1.5 Input and Output

1.6 Control Structures

1.7 Arrays

1.8 Vectors

1.9 Functions

1.10 Object Oriented Programming

Notes

Chapter 2: The Hedge Fund Industry

2.1 What are Hedge Funds?

2.2 The Structure of a Hedge Fund

2.3 The Global Hedge Fund Industry

2.4 Specialist Investment Techniques

2.5 Recent Developments for Hedge Funds

Notes

Chapter 3: Hedge Fund Data Sources

3.1 Hedge Fund Databases

3.2 Major Hedge Fund Indices

3.3 Database and Index Biases

3.4 Benchmarking

Notes

Chapter 4: Statistical Analysis

4.1 The Stats Class

4.2 The Utils Class

4.3 The Import Class

4.4 Basic Performance Plots

4.5 Probability Distributions

4.6 Probability Density Function

4.7 Cumulative Distribution Function

4.8 The Normal Distribution

4.9 Visual Tests for Normality

4.10 Moments of a Distribution

4.11 Covariance and Correlation

4.12 Linear Regression

Notes

Chapter 5: Performance Measurement

5.1 The PMetrics Class

5.2 The Intuition Behind Risk-Adjusted Returns

5.3 Absolute Risk-Adjusted Return Metrics

5.4 The Sharpe Ratio

5.5 Market Models

5.6 The Minimum Acceptable Return

Notes

Chapter 6: Mean-Variance Optimisation

6.1 The Optimise Class

6.2 Mean-Variance Analysis

Notes

Chapter 7: Market Risk Management

7.1 The RMetrics Class

7.2 Value-at-Risk

7.3 Traditional VaR Methods

7.4 Modified VaR

7.5 Expected Shortfall

7.6 Extreme Value Theory

Notes

References

Index

EULA

List of Tables

Preface

Table P.1

Chapter 1

Table 1.1

Table 1.2

Table 1.3

Table 1.4

Table 1.5

Table 1.6

Table 1.7

Chapter 2

Table 2.1

Table 2.2

Table 2.3

Chapter 3

Table 3.1

Table 3.2

Table 3.3

Table 3.4

Table 3.5

Table 3.6

Chapter 4

Table 4.1

Chapter 7

Table 7.1

Table 7.2

Table 7.3

Guide

Cover

Table of Contents

Preface

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