Index
A
- Accelerate
- ACD model extension
- about / ACD model extension
- Akaike information criterion (AIC), Poisson process calibration / Akaike information criterion
- Algebraic Data Type (ADT) / Datatypes
- alternative volatility estimators
- about / Alternative volatility estimators
- Parkinson's number / The Parkinson's number
- Garman-Klass estimator / The Garman-Klass estimator
- Rogers-Satchel estimator / The Rogers-Satchel estimator
- Yang-Zhang estimator / The Yang-Zhang estimator
- applicative style
- files, parsing in / Parsing files in applicative style
- ARMA
- State Space Model / The state-space model for ARMA
- in Haskell / ARMA in Haskell
- ARMA model definition
- about / The ARMA model definition
- Attoparsec library
- about / The Attoparsec library
- installing / The Attoparsec library
- Autocorrelation Function
- about / The Autocorrelation function
- autocorrelation plot
- about / The Autocorrelation plot
- Autoregressive Conditional Heteroskedasticity model / Forecasting volatility
B
- basic features, Haskell
- laziness / Laziness
- functions / Functions as first-class citizens
- datatypes / Datatypes
- type classes / Type classes
- pattern matching / Pattern matching
- monads / Monads
- IO monad / The IO monad
- Basic Linear Algebra Subprograms (BLAS) / Matrix manipulation libraries in Haskell
- basics, HMatrix / HMatrix basics
- Bayesian Information Criterion (BIC) / Model selection
C
- CABAL
- package, creating / Packaging with Cabal
- Cabal / The Haskell platform
- about / The Attoparsec library
- common usage / Common usage
- in sandbox / Cabal in sandbox
- counting process
- about / Counting process
- Cox process calibration
- about / Cox process calibration
- MLE estimation / MLE estimation
- Create-Read-Update-Delete (CRUD) / Template Haskell, quasiquotes, type families, and GADTs
D
- datatypes
- divide and conquer approach / The divide-and-conquer approach
- domain model
- about / The domain model
- duration process
- about / Durations
- experimental durations / Experimental durations
- Maximum likelihood estimation (MLE) / Maximum likelihood estimation
- Generic MLE implementation / Generic MLE implementation
E
- Emacs / The Haskell platform
- essential mathematical packages, for Outlier detection / Essential mathematical packages
- evaluation strategy / Evaluation strategy
- experimental conditional durations
- about / Experimental conditional durations
- autocorrelation function / The Autocorrelation function
- stream fusion / Stream fusion
- autocorrelation plot / The Autocorrelation plot
- QML estimation / QML estimation
- state space model, for ACD / State-space model for ACD
- experimental durations
- about / Experimental durations
F
- F# / The QuickCheck test framework
- Fast Fourier Transform (FFT)
- about / The Autocorrelation function
- files
- parsing, in applicative style / Parsing files in applicative style
- functions
G
- GARCH (1,1) model
- about / The GARCH (1,1) model
- GARCH code
- in parallel / GARCH code in parallel
- Garman-Klass estimator
- about / The Garman-Klass estimator
- Generic MLE implementation, duration process / Generic MLE implementation
- Geometric Brownian Motion
- Geometric Brownian Motion (GBM) / The Rogers-Satchel estimator
- GHC compiler / The Haskell platform
- Glasgow Haskell Compiler (GHC)
- about / The Haskell platform
- GNU Compiler Chain (GCC)
- about / The Haskell platform
- GNU Scientific Library (GSL) / Matrix manipulation libraries in Haskell
- Grubb's test, for Outlier detection / Grubb's test for outliers
H
- Hackage
- URL / The Attoparsec library
- Haskell
- installing, on Mac OS X 10.8 / The Haskell platform
- URL / The Haskell platform
- basic features / Quick tour of Haskell
- matrix manipulation libraries / Matrix manipulation libraries in Haskell
- Kalman Filter / The Kalman filter in Haskell
- Haskell implementation, Poisson process calibration / Haskell implementation
- Haskell platform
- about / The Haskell platform
- Haskell Run-Time System / Volatility estimator framework, Haskell Run-Time System
- divide and conquer approach / The divide-and-conquer approach
- GARCH code, in parallel / GARCH code in parallel
- historic volatility estimators
- about / Historic volatility estimators
- HMatrix
- HPC (Haskell Program Coverage) / QuickCheck test data modifiers
I
- installation, Attoparsec library / The Attoparsec library
- installation, Haskell
- on Mac OS X 10.8 / The Haskell platform
- interactive GHCi interpreter / The Haskell platform
- IO monad
K
- Kalman filter
- about / The Kalman filter
- predict step / The Kalman filter
- update step / The Kalman filter
- in Haskell / The Kalman filter in Haskell
L
- Leksah
- URL / The Haskell platform
- Linear Algebra Package (LAPACK) / Matrix manipulation libraries in Haskell
- LogGarch module / GARCH code in parallel
- London Stock Exchange (LSE)
- about / The domain model
M
- Mac OS X 10.8
- Haskell, installing on / The Haskell platform
- markets types
- order-driven / The domain model
- quote-driven / The domain model
- Matrix
- matrix manipulation libraries, Haskell
- Maximum likelihood estimation (MLE), duration process / Maximum likelihood estimation
- migrateAll function / Declaring entities
- ML / The QuickCheck test framework
- MLE estimation, Cox process calibration / MLE estimation
- MLE estimation, Poisson process calibration / MLE estimation
- MLE estimation, Renewal process calibration / MLE estimation
- model selection
- about / Model selection
- monads
- about / Monads
N
- New York Stock Exchange (NYSE)
- about / The domain model
O
- order-driven markets
- examples / The domain model
- ORM
- Outlier detection
- about / Outlier detection
- essential mathematical packages / Essential mathematical packages
- Grubb's test, for outliers / Grubb's test for outliers
- ||. operator / Fetching data
P
- package
- creating, with Cabal / Packaging with Cabal
- parallel computations
- about / Parallel computations
- code benchmarking / Code benchmarking
- par function / The divide-and-conquer approach, Evaluation strategy
- Parkinson's number
- about / The Parkinson's number
- pattern matching
- about / Pattern matching
- persistent ORM framework
- about / Persistent ORM framework
- entities, declaring / Declaring entities
- data, inserting / Inserting and updating data
- data, updating / Inserting and updating data
- data, fetching / Fetching data
- plain text files
- parsing / Parsing plain text files
- point process
- about / Point process
- Poisson process calibration
- about / Poisson process calibration
- principal conditions / Poisson process calibration
- MLE estimation / MLE estimation
- Akaike information criterion (AIC) / Akaike information criterion
- Haskell implementation / Haskell implementation
- predict step, Kalman filter / The Kalman filter
- pseq function / Evaluation strategy
Q
- QML estimation
- about / QML estimation
- quasiquotes
- QuickCheck test data modifiers, secant root finding algorithm / QuickCheck test data modifiers
- QuickCheck test framework, secant root finding algorithm / The QuickCheck test framework
- quote-driven markets
- about / The domain model
R
- Read-Evaluate-Print Loop (REPL)
- about / The Haskell platform
- Renewal process calibration
- about / Renewal process calibration
- MLE estimation / MLE estimation
- Repa
- Rogers-Satchel estimator
- about / The Rogers-Satchel estimator
S
- Scala / The QuickCheck test framework
- secant root finding algorithm
- about / The secant root-finding algorithm
- secant root finding algorithm / The QuickCheck test framework
- QuickCheck test data modifiers / QuickCheck test data modifiers
- share function / Declaring entities
- state space model, for ACD / State-space model for ACD
- State Space Model, for ARMA / The state-space model for ARMA
- stream fusion
- about / Stream fusion
T
- Template Haskell
- type classes
- about / Type classes
U
- update command / Common usage
- update function / Inserting and updating data
- update step, Kalman filter / The Kalman filter
V
- variance
- properties / Historic volatility estimators
- variation ratio method
- about / The variation ratio method
- VIM / The Haskell platform
- volatility estimator
- selecting / Choosing a volatility estimator
- volatility estimator framework
- about / Volatility estimator framework
- volatility forecasting
- about / Forecasting volatility
- GARCH (1,1) model / The GARCH (1,1) model
- maximum likelihood estimation, of parameters / Maximum likelihood estimation of parameters
- log-likelihood function, calculating / Implementation details
- parallel computations / Parallel computations
- Haskell Run-Time System / Haskell Run-Time System
- evaluation strategy / Evaluation strategy
W
- Weak Head Normal Form (WHNF) / Code benchmarking
Y
- Yang-Zhang estimator
- about / The Yang-Zhang estimator