Quantitative finance with R and cryptocurrencies by Dean Fantazzini

Quantitative finance with R and cryptocurrencies by Dean Fantazzini

The main objective of this book is to provide the necessary background to analyze cryptocurrencies markets and prices. To this end, the book consists of three parts: the first one is devoted to cryptocurrencies markets and explains how to retrieve cryptocurrencies data, how to compute liquidity measures with these data, how to calculate bounds for Bitcoin (and cryptocurrencies) fundamental value and how competing exchanges contribute to the price discovery process in the Bitcoin market. The second part is devoted to time series analysis with cryptocurrencies and presents a large set of univariate and multivariate time series models, tests for financial bubbles and explosive price behavior, as well as univariate and multivariate volatility models. The third part focuses on risk and portfolio management with cryptocurrencies and shows how to measure and backtest market risk, how to build an optimal portfolio according to several approaches, how to compute the probability of closure/bankruptcy of a crypto-exchange, and how to compute the probability of death of crypto-assets.All the proposed methods are accompanied by worked-out examples in R using the packages>bitcoinFinance and>bubble.

This book is intended for both undergraduate and graduate students in economics, finance and statistics, financial and IT professionals, researchers and anyone interested in cryptocurrencies financial modelling. Readers are assumed to have a background in statistics and financial econometrics, as well as a working knowledge of R software.

SKU	Unavailable
ISBN 13	9781090685315
ISBN 10	1090685319
Title	Quantitative finance with R and cryptocurrencies
Author	Dean Fantazzini
Condition	Unavailable
Binding Type	Paperback
Publisher	Independently Published
Year published	2019-05-20
Number of pages	592
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.