Financial Markets and Trading / Wiley Finance Editions (ePub)
An Introduction to Market Microstructure and Trading Strategies
(Sprache: Englisch)
An informative guide to market microstructure and trading
strategies
Over the last decade, the financial landscape has undergone a
significant transformation, shaped by the forces of technology,
globalization, and market innovations to name a few. In...
strategies
Over the last decade, the financial landscape has undergone a
significant transformation, shaped by the forces of technology,
globalization, and market innovations to name a few. In...
sofort als Download lieferbar
eBook (ePub)
60.99 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Financial Markets and Trading / Wiley Finance Editions (ePub)“
An informative guide to market microstructure and trading
strategies
Over the last decade, the financial landscape has undergone a
significant transformation, shaped by the forces of technology,
globalization, and market innovations to name a few. In order to
operate effectively in today's markets, you need more than just the
motivation to succeed, you need a firm understanding of how modern
financial markets work and what professional trading is really
about. Dr. Anatoly Schmidt, who has worked in the financial
industry since 1997, and teaches in the Financial Engineering
program of Stevens Institute of Technology, puts these topics in
perspective with his new book.
Divided into three comprehensive parts, this reliable resource
offers a balance between the theoretical aspects of market
microstructure and trading strategies that may be more relevant for
practitioners. Along the way, it skillfully provides an informative
overview of modern financial markets as well as an engaging
assessment of the methods used in deriving and back-testing trading
strategies.
* Details the modern financial markets for equities, foreign
exchange, and fixed income
* Addresses the basics of market dynamics, including statistical
distributions and volatility of returns
* Offers a summary of approaches used in technical analysis and
statistical arbitrage as well as a more detailed description of
trading performance criteria and back-testing strategies
* Includes two appendices that support the main material in the
book
If you're unprepared to enter today's markets you will
underperform. But with Financial Markets and Trading as your
guide, you'll quickly discover what it takes to make it in this
competitive field.
strategies
Over the last decade, the financial landscape has undergone a
significant transformation, shaped by the forces of technology,
globalization, and market innovations to name a few. In order to
operate effectively in today's markets, you need more than just the
motivation to succeed, you need a firm understanding of how modern
financial markets work and what professional trading is really
about. Dr. Anatoly Schmidt, who has worked in the financial
industry since 1997, and teaches in the Financial Engineering
program of Stevens Institute of Technology, puts these topics in
perspective with his new book.
Divided into three comprehensive parts, this reliable resource
offers a balance between the theoretical aspects of market
microstructure and trading strategies that may be more relevant for
practitioners. Along the way, it skillfully provides an informative
overview of modern financial markets as well as an engaging
assessment of the methods used in deriving and back-testing trading
strategies.
* Details the modern financial markets for equities, foreign
exchange, and fixed income
* Addresses the basics of market dynamics, including statistical
distributions and volatility of returns
* Offers a summary of approaches used in technical analysis and
statistical arbitrage as well as a more detailed description of
trading performance criteria and back-testing strategies
* Includes two appendices that support the main material in the
book
If you're unprepared to enter today's markets you will
underperform. But with Financial Markets and Trading as your
guide, you'll quickly discover what it takes to make it in this
competitive field.
Inhaltsverzeichnis zu „Financial Markets and Trading / Wiley Finance Editions (ePub)“
Preface ix Acknowledgments xiii PART ONE Market Microstructure 1 CHAPTER 1 Financial Markets: Traders, Orders, and Systems 3 Traders 3 Orders 5 The Bid/Ask Spread 7 Liquidity 9 Market Structures 9 Continuous Order-Driven Markets 10 Oral Auctions 11 Call Auctions 12 Quote-Driven Markets and Hybrid Markets 13 CHAPTER 2 Modern Financial Markets 15 The U.S. Equity Markets 15 The NYSE 15 NASDAQ 16 Alternative Trading Systems 17 European Equity Markets 18 Spot FX Market 19 The U.S. Fixed Income Markets 21 High-Frequency Trading 22 CHAPTER 3 Inventory Models 26 Risk-Neutral Models 26 The Garman's Model 26 Amihud-Mendelson Model 29 Models with Risk Aversion 29 What Is Risk Aversion? 29 The Stoll's Model 31 CHAPTER 4 Market Microstructure: Information-Based Models 35 Kyle's Model 35 One-Period Model 35 Multi-Period and Multi-Insider Models 38 Glosten-Milgrom Model 39 Further Developments 41 CHAPTER 5 Models of the Limit-Order Markets 44 The CMSW Model 44 The Parlour Model 46 The Foucault Model 47 Equilibrium at Zero Volatility 48 Volatility Effect 49 New Developments 50 CHAPTER 6 Empirical Market Microstructure 53 Roll's Model 53 The Glosten-Harris Model 55 Structural Models 56 Recent Empirical Findings 58 Equity Markets 58 Global FX Spot Market 60 PART TWO Market Dynamics 63 CHAPTER 7 Statistical Distributions and Dynamics of Returns 65 Prices and Returns 65 The Efficient Market Hypothesis 66 Random Walk and Predictability of Returns 68 Recent Empirical Findings 69 Fractals in Finance 72 CHAPTER 8 Volatility 75 Basic Notions 75 Conditional Heteroskedasticity 77 Realized Volatility 79 Market Risk Measurement 81 CHAPTER 9 Agent-Based Modeling of Financial Markets 86 Adaptive Equilibrium Models 87 Non-Equilibrium Price Models 89 The Observable-Variables Model 91 Modeling Efficiency of Technical Trading 94 Modeling the Birth of a Two-Sided Market 95 PART THREE Trading Strategies 101 CHAPTER 10 Technical Trading Strategies 103 Trend Strategies 105 Filter Rules 105 Moving-Average
... mehr
Rules 106 Channel Breakouts 107 Momentum and Oscillator Strategies 109 Complex Geometric Patterns 113 CHAPTER 11 Arbitrage Trading Strategies 117 Hedging Strategies 118 Pair Trading 120 Cointegration and Causality 121 Pair Selection 123 Arbitrage Risks 125 CHAPTER 12 Back-Testing of Trading Strategies 129 Performance Measures 131 Resampling Techniques 133 Bootstrap 133 Markov Chain Monte Carlo 135 Random Entry Protocol 136 Comparing Trading Strategies 137 Bootstrap Reality Check 138 New Developments 139 CHAPTER 13 Execution Strategies 142 Benchmark-Driven Schedules 143 Cost-Driven Schedules 145 Risk-Neutral Framework 145 Risk-Averse Framework 147 The Taker's Dilemma 151 The Random Walk Model 153 Simulations of the Execution Costs 154 APPENDIX A Probability Distributions 156 Basic Notions 156 Frequently Used Distributions 159 The Uniform Distribution 159 The Binomial Distribution 159 The Poisson Distribution 160 The Normal Distribution 160 The Lognormal Distribution 161 The Cauchy Distribution 162 The Gamma Distribution 162 Stable Distributions and Scale Invariance 162 APPENDIX B Elements of Time Series Analysis 165 The Autoregressive Model 165 The Moving Average Model 167 The ARMA Model 168 Trends and Seasonality 170 Multivariate Time Series 172 Notes 174 References 180 About the Author 190 Index 191
... weniger
Autoren-Porträt von Anatoly B. Schmidt
DR. ANATOLY B. SCHMIDT holds a master of science and PhD in physics from University of Latvia. He has been working as a quantitative analyst in the financial industry since 1997. Dr. Schmidt has published several papers on agent-based modeling of financial markets, market microstructure, and algorithmic trading as well as a book entitled Quantitative Finance for Physicists: An Introduction. He also teaches in the Financial Engineering Program of Stevens Institute of Technology.
Bibliographische Angaben
- Autor: Anatoly B. Schmidt
- 2011, 1. Auflage, 208 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1118093658
- ISBN-13: 9781118093658
- Erscheinungsdatum: 05.07.2011
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Größe: 1.57 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Financial Markets and Trading / Wiley Finance Editions"
Schreiben Sie einen Kommentar zu "Financial Markets and Trading / Wiley Finance Editions".
Kommentar verfassen