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Wiley Finance

By: Paul Darbyshire, David Hampton

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Hardcover | 25 April 2014 | Edition Number 1

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The recent growth in algorithmic and quantitative trading strategies have emphasised the need for advanced technological requirements, and for hedge fund managers and analysts to fully understand the technical limitations and challenges faced with developing quantitative hedge fund models and systems in a globally accepted programming language like C++.

This book is an intermediate to advanced guide to quantitative analysis and modelling of hedge funds using C++. It is practical and implementation driven providing key technical methods to hedge fund analysis and modelling using C++ as well as guidance on implementation and application to real-world problems and tasks. It includes many real-world hedge fund analysis exercises and covers the many problems and pitfalls associated with hedge fund analysis and modelling hedge funds in C++.

It begins by covering the fundamental requirements to begin building quantitative models using C++. Once the key concepts and syntax have been developed, object orientated programming (OOP) is covered along with the many advantages of building quantitative systems using this approach. It then moves on to hedge fund data, covering all the main vendors and their sources of information as well as the pitfalls and problems that need to be understood when interpreting and using such data. It also covers how to manipulate the data once it is stored in the database management system using various programming protocols as well as the uses of such data in quantitative hedge fund strategies and algorithmic trading systems. The book then goes on to show how to interface C++ and Excel and make use of the numerous functionality of Excel for both C++ algorithm development as well as Graphical User Interface (GUI) for such programme output. Coverage also includes the fundamental probability distributions encountered with hedge fund data as well as analysis of the major statistical parameters for describing these distributions; the mathematical and theoretical foundations of covariance and correlation; hedge fund performance measures; asset pricing models; and hedge fund risk management.

The material content in all chapters is supplemented with detailed C++ programming algorithms and procedures outlining how to implement the theory in practice and produce valuable and informative results whilst overcoming technical obstacles and implementation hurdles. Analysis and models can then be developed further into useable applications in the readers own working environment or studies.The book is accompanied by a website which provides all the code and other resources used throughout the book

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