1st Edition

Hands-On Data Analysis in R for Finance

By Jean-Francois Collard Copyright 2023
    414 Pages 67 Color & 74 B/W Illustrations
    by Chapman & Hall

    414 Pages 67 Color & 74 B/W Illustrations
    by Chapman & Hall

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    The subject of this textbook is to act as an introduction to data science / data analysis applied to finance, using R and its most recent and freely available extension libraries. The targeted academic level is undergrad students with a major in data science and/or finance and graduate students, and of course practitioners or professionals who need a desk reference.

    • Assumes no prior knowledge of R
    • The content has been tested in actual university classes
    • Makes the reader proficient in advanced methods such as machine learning, time series analysis, principal component analysis and more
    • Gives comprehensive and detailed explanations on how to use the most recent and free resources, such as financial and statistics libraries or open database on the internet

    1. Your Working Environment

    2. Reading Data in R

    3. Financial Data

    4. Introduction to R

    5. Functions

    6. Data Transformation

    7. Merging Data Sets

    8. Graphing Using Ggplot

    9. Returns and Returns-based Statistics

    10. Portfolios

    11. Modeling Returns and Simulations

    12. Linear and Polynomial Regression

    13. Fixed Income

    14. Principal Component Analysis

    15. Options

    16. Value at Risk

    17. Time Series Analysis

    18. Machine Learning

    19. Presenting the Results of Your Analyses

    20. Appendix: Main Packages Seen in this Book


    Jean-Francois Collard holds a PhD in Computer Science from the University of Paris and a Habilitation from the University of Versailles, France. He was a scientist at the National Center for Scientific Research (CNRS) in Versailles then at HP Labs in Palo Alto, California, and an engineer at Intel in Santa Clara, California. He then had various quantitative roles at Citigroup, Santander and currently in the Investment Consulting Group of New York Life Investment Management. He is also an Adjunct Associate Professor at Baruch College in New York, USA.