PacktLib: Haskell Financial Data Modeling and Predictive Analytics

Haskell Financial Data Modeling and Predictive Analytics

Credits

About the Author

About the Reviewers

www.PacktPub.com

Preface

Getting Started with the Haskell Platform

The Haskell platform

Quick tour of Haskell

Summary

Getting your Hands Dirty

The domain model

The Attoparsec library

Parsing plain text files

Parsing files in applicative style

Outlier detection

Template Haskell, quasiquotes, type families, and GADTs

Persistent ORM framework

Summary

Measuring Tick Intervals

Point process

Counting process

Durations

Poisson process calibration

Renewal process calibration

Cox process calibration

Model selection

The secant root-finding algorithm

Summary

Going Autoregressive

The ARMA model definition

The Kalman filter

Matrix manipulation libraries in Haskell

The Kalman filter in Haskell

The state-space model for ARMA

ARMA in Haskell

ACD model extension

Experimental conditional durations

Summary

Volatility

Historic volatility estimators

Volatility estimator framework

Alternative volatility estimators

Forecasting volatility

Summary

Advanced Cabal

Common usage

Packaging with Cabal

Cabal in sandbox

Summary

References

Index