Anatoly B. Schmidt

Financial Markets and Trading (eBook, PDF)

An Introduction to Market Microstructure and Trading Strategies

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 208
• Erscheinungstermin: 30. Juni 2011
• Englisch
• ISBN-13: 9781118093634
• Artikelnr.: 37485769

Autorenporträt

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.

Inhaltsangabe

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 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