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Record Nr. |
UNINA9910811961203321 |
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Autore |
Schmidt Anatoly B |
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Titolo |
Financial markets and trading : an introduction to market microstructure and trading strategies / / Anatoly B. Schmidt |
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Pubbl/distr/stampa |
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Hoboken, N.J., : Wiley, 2011 |
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ISBN |
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1-118-09365-8 |
1-283-17662-9 |
9786613176622 |
1-118-26809-1 |
1-118-09363-1 |
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Edizione |
[1st edition] |
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Descrizione fisica |
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1 online resource (210 p.) |
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Collana |
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Classificazione |
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Disciplina |
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Soggetti |
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Fixed-income securities |
Stock exchanges |
Microfinance |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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pt. 1. Market microstructure -- pt. 2. Market dynamics -- pt. 3. Trading strategies. |
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Sommario/riassunto |
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"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 |
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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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