Quantitative Trading with R ─ Understanding Mathematical and Computational Tools from a Quant's Perspective

Quantitative Trading with R offers readers a glimpse into the daily activities of quants/traders who deal with financial data analysis and the formulation of model-driven trading strategies.

Based on the author's own experience as a quant, lecturer, and high-frequency trader, this book illuminates many of the problems that these professionals encounter on a daily basis. Answers to some of the more relevant questions are provided, and the easy-to-follow examples show the reader how to build functional R computer code in the process.

Georgakopoulos has written an invaluable introductory work for students, researchers, and practitioners alike. Anyone interested in applying programming, mathematical, and financial concepts to the creation and analysis of simple trading strategies will benefit from the lessons provided in this book. Accessible yet comprehensive, Quantitative Trading with R focuses on helping readers achieve practical competency in utilizing the popular R language for data exploration and strategy development.

Engaging and straightforward in his explanations, Georgakopoulos outlines basic trading concepts and walks the reader through the necessary math, data analysis, finance, and programming that quants/traders rely on. To increase retention and impact, individual case studies are split up into smaller modules. Chapters contain a balanced mix of mathematics, finance, and programming theory, and cover such diverse topics such as statistics, data analysis, time series manipulation, back-testing, and R-programming.

In Quantitative Trading with R, Georgakopoulos offers up a highly readable yet in-depth guidebook. Readers will emerge better acquainted with the R language and the relevant packages that are used by academics and practitioners in the quantitative trading realm.

Harry Georgakopoulos is a Quantitative Trader at a Chicago proprietary trading firm, as well as a part-time Adjunct Lecturer in Quantitative Finance at Loyola University. He has been working as a quant in the high frequency space since 2007. Prior to that, he worked as an RF Electrical Engineer at Motorola and Andrew Corporation where he designed and tested microwave transceivers for mobile technologies. His main area of expertise is in the research and development of automated trading systems for futures, equities, and options. He received his Master's in Financial Mathematics from the University of Chicago and also holds a Master's degree in Electrical Engineering.