Financial markets and trading an introduction to market microstructure and 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 di...
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| Format: | eBook |
| Language: | English |
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Hoboken, N.J.
Wiley
2011
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| Series: | Wiley finance
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| Subjects: | |
| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
| 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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| Physical Description: | xiii, 194 pages illustrations |
| ISBN: | 1118268091 111809364X 9781283176620 9781118093634 1118093631 9781118268094 9781118093641 9780470924129 1283176629 0470924128 1118093658 9781118093658 |