Part I: The Scientific Method 1. Theory 2. Empirics Part II: With Daily Data 3. Arbitrage Risk 4. Objective Measures of Market Efficiency 5. Options Part III: With Intraday Data 6. Event Studies 7. Equities 8. FI Securities Part IV: Conclusions 9. Research Projects
Biography
Rajeev R. Bhattacharya, Ph.D., is a finance professor at Macquarie University and the president of Washington Finance and Economics, with over 30 years’ research, consulting, and teaching experience in finance and Big Data. He lives with his wife and daughter in Washington, DC.
“Rajeev Bhattacharya’s book is a tour de force in its treatment of a variety of topics dealing with financial markets and the rigorous use of mathematical tools of analysis as well as Big Data to better understand how securities are priced and how markets behave. The book covers an impressive and important range of topics that include market efficiency, options, market microstructure and the use of high-frequency data, equities, and fixed income securities. It is unusual in that it delightfully (and in an almost quirky way) blends the philosophical foundations of concepts with mathematical rigor and simple illustrative examples to deepen the reader’s understanding. A must read for graduate students in Finance and Economics, and others interested in a deep dive in these topics.”
Anjan Thakor, John E. Simon Professor of Finance, Director of the WFA Center for Finance and Accounting Research, Olin Business School, Washington University in St. Louis, US
“I am very pleased to see this book come to market. It will be a great resource for a graduate or advanced undergraduate course on Big Data in finance. I especially like the fact that all the code and data are accessible to the reader.”
Tom Smith, Professor, Department of Applied Finance, Macquarie Business School, Macquarie University, Australia
“The unique signature of Dr. Bhattacharya’s book is how it brings together economic thinking and financial data sciences, a tapestry woven around the core theme of market efficiency. What is efficiency anyway? Do we just think of markets as efficient or inefficient, or are there degrees of market efficiency? What data do we have to test it? How do we use it? Finally, what do we find? Dr. Bhattacharya offers ideas and answers aplenty, taking the reader through a fascinating ride with a 360-degree view of economics, data, and metrics in the stock, options, and fixed-income markets. Perhaps most remarkably, the book features original research with primary data. In real life, Dr. Bhattacharya enlightens – and entertains, this book is no different – a great addition to the bookshelf for practitioners, policymakers, and academics alike.”
Nagpurnanand Prabhala, Francis J. Carey, Jr. Professor of Finance, Carey Business School, Johns Hopkins University, US
“This book provides an excellent coverage of classical finance theory, application, and coding – something that is all too rare in today’s market. The strength of this book is in tying theory and practice together. The sections discussing event studies and their application to intraday data are particularly impressive.”
Daniel Taylor, Arthur Andersen Professor of Finance and Accounting, Director, Wharton Forensic Analytics Lab, The Wharton School, University of Pennsylvania, US
“Rajeev is extremely precise (his daughter tells him that he is “too precise, all the time”) and extreme precision with facts and logic is a virtue, especially when accompanied by an immense mathematical sophistication. He is suspicious of claims of simplistic linearity in a hopelessly non-linear world, and is always impatient with hubristic assertions of opinions as fact. He has a very scientific appreciation for nuance and is quite comfortable with the messiness and ambiguity of the real world on one hand and with the elegance and clarity of theory on the other. This is a powerful book blending theories of economics and econometrics to provide an excellent learning tool for generations of new researchers. A highly recommended text for a graduate or advanced undergraduate course on Big Data in Finance enriched by examples of data and codes to analyze the data.”
Mahendra Gupta, Former Dean, Geraldine & Robert Virgil Professor of Accounting and Management Olin Business School, Washington University in St. Louis, US
“If you are looking for a book that goes beyond the textbook understanding of Big Data and delves into the real-life applications of Data Analytics in Finance, then look no further! In his book, Rajeev Bhattacharya brings together the art of Data Science with contemporary use-cases to tackle challenges and questions that practitioners in Financial Services face. This helps the reader not only understand how Big Data can be leveraged but also deepen their knowledge on relevant questions around the metrics, economics, particularities of financial data and even the code that should be utilised.”
Markos Zachariadis, Chair in Financial Technology & Information Systems, Alliance Manchester Business School, Founding Director, Centre for Financial Technology Studies University of Manchester, UK
“In the era of digital transformation, the financial world faces a monumental challenge: harnessing the power of big data. Dive into the captivating world of finance and data analytics with this wide-ranging book, as it unveils the potential and implications of Big Data in Finance.”
Glenn MacDonald, John M. Olin Distinguished Professor of Economics and Strategy, Olin Business School, Washington University in St. Louis, US
“This book represents a significant milestone in amalgamating theoretical understanding and practical implementations in the rapidly expanding domain of Big Data in finance. The author has conducted a thorough examination of an extensive dataset comprising a magnitude of observations in the order of tens of trillions. This rigorous analysis has yielded insights of considerable importance.”
Sanjiv Sabherwal, Eunice and James L. West Endowed Chair, Chair of the Department of Finance and Real Estate, College of Business, University of Texas at Arlington, US
“An intriguing, broad book on Big Data in finance, both from a theoretical and empirical perspective. The discussion of market efficiency at the security level is particularly valuable, since most other studies only focus on efficiency with respect to characteristics or events. Bhattacharya breaks new ground in considering distinctions between ex-ante and ex-post arbitrage risk.”
Jeffrey Pontiff, Professor and James F. Cleary ’50, DBA H ’93 Chair in Finance, Carroll School of Management, Boston College, US
“This is a must-have book for not only advanced undergraduate and graduate students but also for new generational researchers who are interested in Big Data in Finance. The author provides a good balance between theory and practice as well as making the data and codes fully available for the readers. Highly recommended!”
Kien Tran, Professor of Econometrics, University of Lethbridge, Canada
“This book is a serious discussion of finance and data analytics addressing the challenge from the big data perspective and focused on market efficiency. The implications of Rajeev Bhattacharya’s book for philosophers are at least twofold. First, its big picture contributes to the ongoing debate on the nature of science and scientific methods with an emphasis on the significance of the falsification criterion in science. Second, it dissects the concepts of known unknowns and unknown unknowns, overlapping some of the themes covered in a recent philosophy book, Beyond Uncertainty: Reasoning with Unknown Possibilities. I strongly recommend this book to decision-theoretic philosophers keen on exploring uncertainty and ambiguity further.”
Prasanta Bandyopadhyay, Professor of Philosophy, Montana State University, US
“This new book addresses an important topic on which there is much interest; the book proposes an innovative approach to the problem of not knowing what we don’t know. In my view this issue is entangled with Godel’s incompleteness theorem and therefore it goes to the foundations of logic. I strongly recommend the topic and endorse the book to the reader.”
Graciela Chichilnisky, Professor of Economics and Statistics, Columbia University, US
“A compendium of conceptual deliberations in risk and uncertainty in finance, empirically confirmed with big data analysis. This book is an excellent resource for scholars and students of finance and big data analytics. Free access to computing code can make harnessing the power of big data more accessible to the average user. I am heartened to see this book arrive. It will make a great text for courses emphasizing big data in finance, which has special relevance in the current age of supercomputing.”
Vivek Pandey, Professor of Finance, University of Texas at Tyler, US
“The availability of high-frequency and large datasets in finance is sparking a revolution of sorts in the way that industry practitioners quantify and manage risk. Risk exposures can now be monitored in real-time and examined using a multitude of sophisticated models and techniques. Indeed, the skills needed to analyse and interpret big data are in demand and will only continue to garner more importance as data-driven decisions become the norm for governments, policymakers, and businesses. This book is a goldmine for anyone who wants to learn not only about contemporary methods to quantify uncertainty and risk but also the theory that underpins them. The applications presented in the book are extremely valuable as they illustrate practical examples of employing these methods in finance.”
Hamid Yahyaei, Specialized Lecturer in Applied Finance, Macquarie University, Canada
“As I went through the chapters, the words that came to mind were: informative, intelligent, disciplined, scientific, amusing, and practical. The book makes an honest effort to marry theory with empirics, to follow Immanuel Kant’s view that “theory without practice is empty, practice without theory is blind.” Interspersed with interesting and apt quotes and anecdotes, the chapters in the book present key theoretical tools for statistical inference and econometric analysis and then apply them to questions related to financial market efficiency. I found these practical applications especially relevant for today’s financial markets influenced by fast moving news. The Big Data analyses of intraday bond and stock market data are fascinating. The book will be a key reference for students, researchers, and practitioners.”
Dilip Ratha, Head of KNOMAD and Lead Economist, Migration and Remittances
World Bank“This book is long overdue in the market. It is a total refresh of where the financial scholarship is in the field and a very welcome addition to the existing literature. It is highly relevant to professionals and to the academic community.”
Joseph Bial, Partner, Paul, Weiss, Rifkind, Wharton & Garrison LLP
“Rajeev Bhattacharya, Ph.D. has produced what will likely be looked upon as the seminal piece on tying the very best among thought leaders in finance to some of the most cutting edge subjects within the art and science of finance itself. Its contemporary application of modern principles to the wide range of issues within brings new light to the trajectory of where our field is headed. Future scholars would be well served to give this treatise a good read.”
Robert MacLaverty, Managing Director, SEDA Finance
“I have had the pleasure of working with Dr. Bhattacharya as an expert consultant. He has a wonderful way of discussing complex, academic theories in a manner that non-academics and juries can understand. This book is no different, parsing complex theories, with logical, matter of fact analysis of the impact of data on pricing and decision making.”
Robert Thompson, Partner, Bryan Cave Leighton Paisner (BCLP)
