A Practitioner’s Guide to Financial Market Analysis
Preface
This book is a work in progress, aimed at providing a coherent and integrated treatment of financial econometrics and investment analysis within the context of modern fixed-income and multi-asset markets. My plan is to eventually cover the following topics - and possibly more as the project evolves.
Planned Topics
- Background tools and techniques
- No arbitrage, no dominance, and no kidding
- Defined benefit pensions
- Dynamic behaviour of yields
- Information embedded in the yield curve
- Generating return distributions
- Portfolio optimisation
- Returns and risks
- Return decomposition
- Evaluating trading strategies
The overarching goal is to bridge theory and practice, and the style and structure will follow that of Nyholm (2021), combining theoretical concepts with practical examples, data-driven illustrations, and empirical applications.