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Financial markets and trading : an introduction to market microstructure and trading strategies / Anatoly B. Schmidt.

By: Schmidt, Anatoly B.
Material type: materialTypeLabelBookSeries: Wiley finance series: 637.Publisher: Hoboken, N.J. : Wiley, 2011Description: 1 online resource (xiii, 184 pages) : illustrations.Content type: text Media type: computer Carrier type: online resourceISBN: 9781118093641; 111809364X; 9781118093658; 1118093658; 9781118093634; 1118093631; 9781118268094; 1118268091; 0470924128; 9780470924129; 1283176629; 9781283176620.Subject(s): Fixed-income securities | Stock exchanges | Microfinance | Fixed-income securities | Microfinance | Stock exchanges | BUSINESS & ECONOMICS -- Investments & Securities -- General | Fixed-income securities | Microfinance | Stock exchangesGenre/Form: Electronic books.Additional physical formats: Print version:: Financial markets and trading.DDC classification: 332.64 Other classification: 85.33 Online resources: Wiley Online Library
Contents:
pt. 1. Market microstructure -- pt. 2. Market dynamics -- pt. 3. Trading strategies.
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"-- Provided by publisher.
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Includes bibliographical references and index.

pt. 1. Market microstructure -- pt. 2. Market dynamics -- pt. 3. Trading strategies.

"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"-- Provided by publisher.

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