Hedge Fund Modelling and Analysis

An Object Oriented Approach Using C++

Paul Darbyshire, David Hampton

• Publisher: Wiley
• Year: 2016
• Print ISBN: 9781118879573
• eBook ISBN: 9781118879566
• Edition: 1
• Topic: Betriebswirtschaft
• Subtopic: Finanzwesen

Use powerful C++ algorithms and Object Oriented Programming (OOP) to aid in hedge fund decision making

Low interest rates, overcrowded markets and greater regulatory oversight are just some of the many reasons it is close to impossible for hedge funds to draw competitive returns. The solution for many hedge fund managers, quantitative investment analysts and risk managers is to adopt new technologies, platforms and programming languages to better manage their risks and maximise the benefits of their return profiles.

Hedge Fund Modelling and Analysis is a full course in the latest analytic strategies for hedge fund investing, complete with a one-of-a-kind primer on both C++ and object oriented programming (OOP). Covering both basic and risk-adjusted performance measures, this practitioner's guide enables you to manage risk easily and make the most of key statistics with simple and advanced analysis techniques. This highly anticipated third book in the widely used Hedge Fund Modelling and Analysis series is the only guide available for applying the powerful C++ language to revolutionise hedge fund trading. Even if you've never worked with code before, the focused overview of C++ gives you everything you need to navigate the technical aspects of object oriented programming, which enables you to build sophisticated analysis programs from small units of reusable code. This book is your breakthrough introduction to winning with hedge funds in the new reality of trading.

Jumpstart your new approach to beating the markets with:

• All the guidance and hands-on support you need to use quantitative strategies to optimise hedge fund decision-making.
• Illustrative modelling exercises and worked-out problems demonstrating what to expect when assessing risk and return factors in the real world.
• A companion website offering additional C++ programs, algorithms and data to download.

Make reading Hedge Fund Modelling and Analysis your new routine and gain all the insight and relevant information you need to beat the markets.

CHAPTER 1
Essential C++

This chapter covers the fundamental requirements necessary to allow the reader to get up and running building quantitative models using the C++ programming language. This introduction is in no way intended to be an in-depth treatment of the C++ programming language but more an overview of the basics required to build your own efficient and adaptable programs. Once the key concepts have been developed, object-oriented principles are introduced and many of the advantages of building quantitative systems using such programming approaches are outlined. It is assumed that the reader will have some prerequisite knowledge of a low-level programming language and the necessary computation skills to effectively grasp and apply the material presented here.

1.1 A Brief History of C and C++

C is a procedural¹ programming language developed at Bell Laboratories between 1969 and 1973 for the UNIX operating system. Early versions of C were known as K&R C after the publication of the book The C Programming Language written by Brian Kernighan and Dennis Ritchie in 1978. However, as the language developed and became more standardised, a version known as ANSI² C became more prominent. Although C is no longer the choice of many developers, there is still a huge amount of legacy software coded in it that is actively maintained. Indeed, C has greatly influenced other programming languages, in particular C++ which began purely as an extension of C.

Often described as a superset of the C language, C++ uses an entirely different set of programming concepts designed around the Object-Oriented Programming (OOP) paradigm. Solving a computer problem with OOP involves the design of so-called classes that are abstractions of physical objects containing the state, members, capabilities and methods of the object. C++ was initially developed by Bjarne Stroustrup in 1979 whilst at Bell Laboratories as an enhancement to C; originally known as C with Classes. The language was renamed C++ in the early 80s and by 1998, C++ was standardised as ANSI/ISO³ C++. During this time several new features were added to the language, including virtual functions, operator overloading, multiple inheritance and exception handling. The ANSI/ISO standard is based on two main components: the core language and the C++ Standard Library that incorporates the C Standard Library with a number of modifications optimised for use with the C++ language. The C++ Standard Library also includes most of the Standard Template Library (STL); a set of tools, such as containers and iterators that provide array-like functionality, as well as algorithms designed specifically for sorting and searching tasks. C++11 ...

Table of contents

• Cover
• Series
• Title Page
• Copyright
• Dedication
• Preface
• Chapter 1: Essential C++
• Chapter 2: The Hedge Fund Industry
• Chapter 3: Hedge Fund Data Sources
• Chapter 4: Statistical Analysis
• Chapter 5: Performance Measurement
• Chapter 6: Mean-Variance Optimisation
• Chapter 7: Market Risk Management
• References
• Index
• EULA