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Big Data Science in Finance




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Big Data Science in Finance

Irene Aldridge, M. Avellaneda

ISBN: 978-1-119-60298-9 December 2019 400 Pages


Big Data Science in Finance presents the mathematics, theory, and appliation of Big Data techniques presently revolutionizing finance. Co-authored by a quantitative finance superstar, Marco Avellaneda, and a popular author of quantitative methodologies, Irene Aldridge, this book is bound to energize and thousands of eager finance practitioners. The book comprises brand-new material based on the latest world-class research that has been taught in the top Financial Mathematics and Engineering programs in the world to most discerning and mathematically-advanced students. Big Data is the future of Finance and this book addresses head-on most critical topics in the space in a comprehensive narrative that includes proofs as well as step-by-step applications and even code.

Key topics discussed include Big Data vs. Samll Date, Intuitive explanation of SVD and PCA, how to separate data meaning (signal) from noice and the techniues to do so, how to deal with missing date values, Data Clustering, Optimizing Data Storage, Big Data Dynamics, Big Date Monte Carlo, and Appliatoins of Big Data to Finance