F# for quantitative finance
To develop your confidence in F#, this tutorial will first introduce you to simpler tasks such as curve fitting. You will then advance to more complex tasks such as implementing algorithms for trading semi-automation in a practical scenario-based format.If you are a data analyst or a practitioner in...
| Autor principal: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Birmingham :
Packt Publishing
2013.
|
| Edición: | 1st edition |
| Colección: | Community experience distilled
|
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628110906719 |
Tabla de Contenidos:
- Cover; Copyright; Credits; About the Author; About the Reviewers; www.PacktPub.com; Table of Contents; Preface; Chapter 1: Introducing F# using Visual Studio; Introduction; Getting started with Visual Studio; Creating a new F# project; Creating a new project in Visual Studio; Understanding the program template; Adding an F# script file; Understanding F# Interactive; Language overview; Explaining mutability and immutability; Primitive types; Explaining type inference; Explaining functions; Learning about anonymous functions; Explaining higher order functions; Currying; Investigating lists
- Concatenating listsTuples; The pipe operator; Documenting your code; Your first application; The whole program; Understanding the program; Extending the example program; The entire program; The power of prototyping; Functional languages in quantitative finance; Understanding the imperative code and interoperability; Summary; Chapter 2: Learning More About F#; Structuring your F# program; Looking into modules; Using functions and values in modules; Namespaces; Looking deeper inside data structures; Record types; Discriminated unions; Enumerations; Arrays
- Interesting functions in an array moduleLists; Pattern matching and lists; Interesting functions in a list module; Sequences; Interesting functions in the sequence module; Sets; Maps; Interesting functions in the map module; Options; Strings; Interesting functions in the string module; Choosing data structures; Arrays; Lists; Sets; Maps; More on functional programming; Recursive functions; Tail recursion; Pattern matching; Incomplete pattern matching; Using guards; Pattern matching in assignment and input parameters; Active patterns; Introducing generics; Lazy evaluation; Units of measure
- Asynchronous and parallel programmingEvents; Background workers; Threads; Thread pools; Asynchronous programming; The F# asynchronous workflows; Asynchronous binding; Example of using an async workflow; Parallel programming using TPL; MailboxProcessor; A brief look at imperative programming; Object-oriented programming; Classes; Objects and members; Methods and properties; Overloaded operators; Using XML documentation; Useful XML tags; Typical XML documentation; Summary; Chapter 3: Financial Mathematics and Numerical Analysis; Understanding number representation; Integers; Two's complement
- Floating-point numbersThe IEEE 754 floating-point standard; Learning about numerical types in F#; Arithmetic operators; Learning about arithmetic comparisons; Math operators; Conversion functions; Introducing statistics; Aggregate statistics; Calculating the sum of a sequence; Calculating the average of a sequence; Calculating the minimum of a sequence; Calculating the maximum of a sequence; Calculating the variance and standard deviation of a sequence; Looking at an example application; Using the Math.NET library; Installing the Math.NET library; Introduction to random number generation
- Pseudo-random numbers
