Haskell Financial Data Modeling and Predictive Analytics. (2013)

• Record Type: Book
• Other Names: Ryzhov, Pavel
• Contents: Cover; Copyright; Credits; About the Author; About the Reviewers; www.PacktPub.com; Table of Contents; Preface; Chapter 1: Getting Started with Haskell Platform; The Haskell platform; Quick tour of Haskell; Laziness; Functions as first-class citizens; Datatypes; Type classes; Pattern matching; Monads; The IO monad; Summary; Chapter 2: Getting Your Hands Dirty; The domain model; The Attoparsec library; Parsing plain text files; Parsing files in applicative style; Outlier detection; Essential mathematical packages; Grubb's test for outliers. Template Haskell, quasiquotes, type families and GADTsPersistent ORM framework; Declaring entities; Inserting and updating data; Fetching data; Summary; Chapter 3: Measuring Tick Intervals; Point process; Counting process; Durations; Experimental durations; Maximum likelihood estimation; Generic MLE implementation; Poisson process calibration; MLE estimation; Akaike information criterion; Haskell implementation; Renewal process calibration; MLE estimation; Cox process calibration; MLE estimation; Model selection; The secant root finding algorithm; The QuickCheck test framework. QuickCheck test data modifiersSummary; Chapter 4: Going Autoregressive; The ARMA model definition; The Kalman filter; Matrix manipulation libraries in Haskell; HMatrix basics; The Kalman filter in Haskell; The state space model for ARMA; ARMA in Haskell; ACD model extension; Experimental conditional durations; The Autocorrelation function; Stream fusion; Autocorrelation plot; QML estimation; State space model for ACD; Summary; Chapter 5: Volatility; Historic volatility estimators; Volatility estimator framework; Alternative volatility estimators; The Parkinson's number. The Garman-Klass estimatorThe Rogers-Satchel estimator; The Yang-Zhang estimator; Choosing a volatility estimator; The variation ratio method; Forecasting volatility; The GARCH (1, 1) model; Maximum likelihood estimation of parameters; Implementation details; Parallel computations; Code benchmarking; Haskell Run-Time System; The divide and conquer approach; GARCH code in parallel; Evaluation strategy; Summary; Chapter 6: Advanced Cabal; Common usage; Packaging with Cabal; Cabal in sandbox; Summary; Appendix: References; Index.
• Publisher Details: Place of publication not identified : Packt Publishing
• Publication Date: 2013
• Extent: 1 online resource
• Subjects: 004.76; COMPUTERS -- Operating Systems -- General; Electronic data processing; Haskell (Computer program language); Electronic data processing; Haskell (Computer program language); COMPUTERS -- Computer Literacy; COMPUTERS -- Computer Science; COMPUTERS -- Data Processing; COMPUTERS -- Hardware -- General; COMPUTERS -- Information Technology; COMPUTERS -- Machine Theory; COMPUTERS -- Reference; Electronic data processing; Haskell (Computer program language); Electronic data processing; Haskell (Computer program language); COMPUTERS -- Programming -- Open Source; Electronic books
• Languages: English
• ISBNs: 9781461949732; 1461949734; 1306070546; 9781306070546; 9781782169444; 1782169431; 9781782169437
• Related ISBNs: 178216944X; 9781782169437
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.