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Financial markets and trading : an introduction to market microstructure and trading strategies / Anatoly B. Schmidt
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Wiley finance ; 637 | Wiley Finance Ser ; v.637Publisher: Hoboken, N.J : Wiley, c2011Copyright date: ©2011Edition: Online-AusgDescription: Online-Ressource (1 online resource (xiii, 194 p.)) : illISBN:- 9781283176620
- 1283176629
- 9781118093634
- 332.64
- BUS027000
- HG4650
Contents:
Summary: An informative guide to market microstructure and tradingstrategies Over the last decade, the financial landscape has undergone asignificant transformation, shaped by the forces of technology,globalization, and market innovations to name a few. In order tooperate effectively in today's markets, you need more than just themotivation to succeed, you need a firm understanding of how modernfinancial markets work and what professional trading is reallyabout. Dr. Anatoly Schmidt, who has worked in the financialindustry since 1997, and teaches in the Financial Engineeringprogram of Stevens Institute of Technology, puts these topics inperspective with his new book. Divided into three comprehensive parts, this reliable resourceoffers a balance between the theoretical aspects of marketmicrostructure and trading strategies that may be more relevant forpractitioners. Along the way, it skillfully provides an informativeoverview of modern financial markets as well as an engagingassessment of the methods used in deriving and back-testing tradingstrategies. Details the modern financial markets for equities, foreignexchange, and fixed incomeAddresses the basics of market dynamics, including statisticaldistributions and volatility of returnsOffers a summary of approaches used in technical analysis andstatistical arbitrage as well as a more detailed description oftrading performance criteria and back-testing strategiesIncludes two appendices that support the main material in thebook If you're unprepared to enter today's markets you willunderperform. But with Financial Markets and Trading as yourguide, you'll quickly discover what it takes to make it in thiscompetitive field.Summary: FINANCIAL MARKETS AND TRADING: An Introduction to Market Microstructure and Trading Strategies -- Contents -- Preface -- Acknowledgments -- PART ONE: Market Microstructure -- CHAPTER 1: Financial Markets: Traders, Orders, and Systems -- Traders -- Orders -- The Bid/Ask Spread -- Liquidity -- Market Structures -- Continuous Order-Driven Markets -- Oral Auctions -- Call Auctions -- Quote-Driven Markets and Hybrid Markets -- CHAPTER 2: Modern Financial Markets -- The U.S. Equity Markets -- The NYSE -- NASDAQ -- Alternative Trading Systems -- European Equity Markets -- Spot FX Market -- The U.S. Fixed Income Markets -- High-Frequency Trading -- CHAPTER 3: Inventory Models -- Risk-Neutral Models -- The Garman's Model -- Amihud-Mendelson Model -- Models with Risk Aversion -- What Is Risk Aversion? -- The Stoll's Model -- CHAPTER 4: Market Microstructure: Information-Based Models -- Kyle's Model -- One-Period Model -- Multi-Period and Multi-Insider Models -- Glosten-Milgrom Model -- Further Developments -- CHAPTER 5: Models of the Limit-Order Markets -- The CMSW Model -- The Parlour Model -- The Foucault Model -- Equilibrium at Zero Volatility -- Volatility Effect -- New Developments -- CHAPTER 6: Empirical Market Microstructure -- Roll's Model -- The Glosten-Harris Model -- Structural Models -- Recent Empirical Findings -- Equity Markets -- Global FX Spot Market -- PART TWO: Market Dynamics -- CHAPTER 7: Statistical Distributions and Dynamics of Returns -- Prices and Returns -- The Efficient Market Hypothesis -- Random Walk and Predictability of Returns -- Recent Empirical Findings -- Fractals in Finance -- CHAPTER 8: Volatility -- Basic Notions -- Conditional Heteroskedasticity -- Realized Volatility -- Market Risk Measurement -- CHAPTER 9: Agent-Based Modeling of Financial Markets -- Adaptive Equilibrium Models -- Non-Equilibrium Price Models.PPN: PPN: 807340049Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""Acknowledgments""; ""Part One: Market Microstructure""; ""Chapter 1: Financial Markets: Traders, Orders, and Systems""; ""Traders""; ""Orders""; ""The Bid/Ask Spread""; ""Liquidity""; ""Market Structures""; ""Chapter 2: Modern Financial Markets""; ""The U.S. Equity Markets""; ""The U.S. Fixed Income Markets""; ""High-Frequency Trading""; ""Chapter 3: Inventory Models""; ""Risk-Neutral Models""; ""Models with Risk Aversion""; ""Chapter 4: Market Microstructure: Information-Based Models""; ""Kyle's Model""; ""Glosten-Milgrom Model""
""Further Developments""""Chapter 5: Models of the Limit-Order Markets""; ""The CMSW Model""; ""The Parlour Model""; ""The Foucault Model""; ""New Developments""; ""Chapter 6: Empirical Market Microstructure""; ""Roll's Model""; ""The Glosten-Harris Model""; ""Structural Models""; ""Recent Empirical Findings""; ""Part Two: Market Dynamics""; ""Chapter 7: Statistical Distributions and Dynamics of Returns""; ""Prices and Returns""; ""The Efficient Market Hypothesis""; ""Random Walk and Predictability of Returns""; ""Recent Empirical Findings""; ""Fractals in Finance""; ""Chapter 8: Volatility""
""Basic Notions""""Conditional Heteroskedasticity""; ""Realized Volatility""; ""Market Risk Measurement""; ""Chapter 9: Agent-Based Modeling of Financial Markets""; ""Adaptive Equilibrium Models""; ""Non-Equilibrium Price Models""; ""The Observable-Variables Model""; ""Modeling Efficiency of Technical Trading""; ""Modeling the Birth of a Two-Sided Market""; ""Part Three: Trading Strategies""; ""Chapter 10: Technical Trading Strategies""; ""Trend Strategies""; ""Momentum and Oscillator Strategies""; ""Complex Geometric Patterns""; ""Chapter 11: Arbitrage Trading Strategies""
""Hedging Strategies""""Pair Trading""; ""Arbitrage Risks""; ""Chapter 12: Back-Testing of Trading Strategies""; ""Performance Measures""; ""Resampling Techniques""; ""Comparing Trading Strategies""; ""Chapter 13: Execution Strategies""; ""Benchmark-Driven Schedules""; ""Cost-Driven Schedules""; ""The Taker's Dilemma""; ""Appendix A: Probability Distributions""; ""Basic Notions""; ""Frequently Used Distributions""; ""Stable Distributions and Scale Invariance""; ""Appendix B: Elements of Time Series Analysis""; ""The Autoregressive Model""; ""The Moving Average Model""; ""The ARMA Model""
""Trends and Seasonality""""Multivariate Time Series""; ""Notes""; ""References""; ""About the Author""; ""Index""
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