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Author Schmidt, Anatoly B.

Title Financial markets and trading [electronic resource] : an introduction to market microstructure and trading strategies / Anatoly B. Schmidt.

Imprint Hoboken, N.J. : Wiley, 2011.


Location Call No. OPAC Message Status
 Axe ProQuest E-Book  Electronic Book    ---  Available
Description xiii, 184 p. : ill.
Series Wiley finance ; 637
Wiley finance series ; 637.
Bibliography Includes bibliographical references and index.
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.
Reproduction Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Subject Fixed-income securities.
Stock exchanges.
Genre/Form Electronic books.
Added Author ProQuest (Firm)
ISBN 9780470924129 (hardback)
9781118093641 (e-book)
9781118093658 (e-book)
9781118093634 (e-book)

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