Financial markets and trading : an introduction to market microstructure and trading strategies / / Anatoly B. Schmidt.
"Financial Markets and Trading Strategies covers three main parts: Market organization and microstructure theory, which will contain an overview of modern financial markets for equities, FX, and fixed income. There will be a description on various market types and market price formation with di...
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Superior document: | Wiley finance ; 637 |
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TeilnehmendeR: | |
Year of Publication: | 2011 |
Language: | English |
Series: | Wiley finance series ;
637. |
Online Access: | |
Physical Description: | xiii, 184 p. :; ill. |
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Summary: | "Financial Markets and Trading Strategies covers three main parts: Market organization and microstructure theory, which will contain an overview of modern financial markets for equities, FX, and fixed income. There will be a description on various market types and market price formation with different types of traders and orders. Major theoretical microstructure models will be presented, as also concepts of the agent-based modeling of financial markets and important empirical properties of equity and FX markets. Common trading strategies and back-testing will summarize the concepts used in technical analysis and arbitrage trading (such as pairs trading and mean-reversion strategies). There will be a description of performance criteria and back-testing of trading strategies with re-sampling techniques and an outline of other ideas used in optimal order execution, such as optimal order slicing and maker-versus-taker strategies. The appendix will include Probability distributions and time series analysis. For self-contained presentation, there will be a description of the mathematical methods used in formulating trading strategies and their back-testing. There will be a focus on the linear regression, autoregressive and moving average models, trends, co-integration, and conditional heteroskedasticity. There will also be an introduction to resampling techniques, such as bootstrap and MCMC"-- |
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Bibliography: | Includes bibliographical references and index. |
ISBN: | 9780470924129 (hardback) 9780470924129 9781118093634 9781118093641 (ebook) 9781118093658 (ebook) 9781118093634 (ebook) |
Hierarchical level: | Monograph |
Statement of Responsibility: | Anatoly B. Schmidt. |