Customer Reviews

Market Models: A Guide to Financial Data Analysis

5 star:		(13)
4 star:		(2)
3 star:		(0)
2 star:		(2)
1 star:		(0)

 

 

If you are looking for detailed rigorous mathematical development then look elsewhere, that is not the reason to purchase this book. It is targeted towards application and there it excels. I have not seen any other book on this topic that so effectively presents a level-headed applied approach that keeps the basic assumptions of the models firmly in sight.
What tool fits when is nicely discussed.

I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.

Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.

I'm a student of Carol Alexander at the ISMA Centre. This could set a bias, but I have tried in my review to be as objective as I possibly can.
Having covered with academic rigor 9 out of the 13 chapters of "market models", the only way i could describe it is as an excellent toolbox for financial modelling and a precise application to these tools to Risk measurement.

One of the main features that make this book stand out of the crowd of similar books is the fact that it's paved with illustrations using real market data. You get a feel of the reality, not just some conceptual approach that might or might not work.

The other feature that gives this book a step ahead of others is how Carol managed to make it perfectly accessible to someone with little mathematical weapons, yet kept it absolutely worth for the Quant!

The constant but constructive analysis of the "practical" limitations and advantages of such and such models explained or mentioned, adds to keeping the whole scene of the book very realistic.

It's also a true solutions book; it doesn't just tell you what to do by presenting the theory behind the concept, but how to do it by applying it to real data.

Chapters like "principal components" and ["Non Normal Models" or Normal mixtures" as she likes to call them], bring forward some elegant, yet powerful and straightforward methods for modelling in finance.

Market Models should be a trader's must read and without a doubt, "THE" book of the modern Risk Manager.

Go get the book and learn what you need to know!

Targeted towards practitioners concerned with model development, the book addresses key issues in market risk measurement, quantitative trading and investment analysis in a very systematic and clear exposition. I find it particularly reassuring that someone with the author's academic background and hands-on expertise has decided to undertake the responsibility of putting-up a comprehensive guide to financial modelling, from the basic use of financial data to statistical techniques selection and model implementing. Particular attention is paid to supporting each subject with real-world examples, both within the text and in the associated CD. Moreover, the spreadsheets contained by the CD can always represent a useful reference for building your own models. As I find this book really helpful for applied, but also academic model development, I recommend it highly.

Allmost 500 pages of packed information on major statistical methods used in modern finance. So many books are predictable; this one is different. It manages to cover each topic in the original style of the author: motivating, practical and full of examples with comments on the pitfalls of implementation.
The highpoints are (i) a comprehensive and illuminating review of GARCH models, (ii)new applications of PCA to the generation of robust, positive semi-definite covariance matrices (orthogonal GARCH) and to the analysis of volatility smiles and (iii) cointegration models with application to the design of hedge fund strategies. These are three areas where Carol Alexander not only shows her deep knowledge of previous research but has also made her own original contributions.
This book should be a must for MSc students in finance and economics. It should also be a useful intoductory guide to seasoned practitioners who will benefit from its numerous and up to date references. The CD alone with its databases and numerous working examples is worth ten times the price of the book.

Alexander's new book is essential reading for intellectual risk managers, quant traders, and quantitatively minded market analysts; Ph.D students in finance would probably also find the book both useful and inspiring.

The book has two outstanding qualities that set it apart from its benchmark, ie the 'average' of serious finance books.

#1. The book is refreshingly well written. Considering that the topics of finance and risk management are not that conducive to stylistic efforts, this book is a marvel of clarity.

#2. Market modeling is a topic that in most financial institutions on both the sell and the buy sides does not receive as much attention as it deserves and requires. Don't we all know of seemingly sophisticated risk management departments that actually are quite simplistic in how they generate volatility scenarios? Or what about the often mindless cranking out of historically based VaR estimates without considering the risk characteristics of the current regime? The beauty of this book is that it discusses market modeling in relation to its uses in other risk analytical areas such as derivatives modeling and VaR analysis.

For a starter, this book does offer a broad spectrum of subjects, volatility/variance measurement, PCAs, Factor Models, Time Series analysis, high frequency data modeling, etc, at the expense of rigor and depth.

Desipite the academic pedigree the author enjoys and the educational career she had, the book is rather poorly organized from a pedagogical point of view. She seems to have a tendency to refer to expressions, notions, ideas, data which appear much later than where the reference takes place. This makes first-timers cringe as they go through the chapters as they are laid out. It reads much like some published papers got dumbed down, and bundled together.

If you are looking for comprehensive introduction, without the gory details of mathematical mumblejumble, this book might be of help. But it may not be used as a reference book, for its organization and for its lack of rigor.

Without repeating the previous ratings, I can say that Carol Alexander's work already contributed considerably to my work after just one hour. The combination of clearly expressed ideas and excellent spreadsheets/VBA code helps the reader not only to understand but also to implement rather complex concepts in a short amount of time.
It is similar to other practical books like Financial Modeling, but deals with far more complex models. Hopefully, more authors will adopt this kind of practical presentation without being trivial.

Market Models is an essential tool for practioners who would like to gain fundamental expertise on financial modeling. Aside from the practical view, Alexander's book has got such a clear and comprehensive reading that even the most inexpert individuals can get enthusiastically involved in learning issues related to risk management, investment analysis and financial forecasting. Recent econometric techniques on time series are brilliantly applied with real examples on the finance field. The book demonstrates that the author has a great knowledge on both a theoretical as well as a practical basis on market modeling and knows how to combine the two aspects in a very intelligent way. I considered this book to be a fundamental reference for either financial profesionals and academics.

Pricing/hedging and risk modelers in banks and in universities are going to find this book really useful. Quite a heavy weight text but written carefully and clearly - plenty of examples and a very professional CD loaded with useful data and programs.