Mathematical techniques in financial market trading [[electronic resource] /] / Don K. Mak

• Autore: Mak Don K
• Pubblicazione: Hackensack, N.J., : World Scientific, c2006
• Descrizione fisica: 1 online resource (xvi, 304 p. ) : ill
• Disciplina: 332.6401/513
• Soggetto topico: Investments - Mathematics; Finance - Mathematical models; Speculation - Mathematical models
• Soggetto genere / forma: Electronic books.
• Note generali: Bibliographic Level Mode of Issuance: Monograph
• Nota di bibliografia: Includes bibliographical references (p. 297-300) and index.
• Nota di contenuto: 1. Introduction -- 2. Scientific review of the financial market. 2.1. Econophysics. 2.2. Non-randomness of the market. 2.3. Financial market crash -- 3. Causal low pass filters. 3.1. Ideal causal trending indicators. 3.2. Exponential moving average. 3.3. Butterworth filters. 3.4. Sine function, n=2. 3.5. Sine function, n=4. 3.6. Adaptive exponential moving average -- 4. Reduced lag filters. 4.1. "Zero-lag" EMA (ZEMA). 4.2. Modified EMA (MEMA) -- 5. Causal wavelet filters. 5.1. Mexican hat wavelet. 5.2. Dilated Mexican hat wavelet. 5.3. Causal Mexican hat wavelet. 5.4. Discrete fourier transform. 5.5. Calculation of zero phase frequencies. 5.6. Examples of filtered signals. 5.7. High, middle and low Mexican hat wavelet filters. 5.8. Limitations of Mexican hat wavelet filters -- 6. Instantaneous frequency. 6.1. Calculation of frequency (4 data points). 6.2. Wave velocity. 6.3. Wave acceleration. 6.4. Examples using 4 data points. 6.5. Alternate calculation of frequency (5 data points). 6.6. Example with a frequency chirp. 6.7. Example with real financial data. 6.8. Example with real financial data (more stringent condition) -- 7. Phase. 7.1. Relation between the real and imaginary parts of the Fourier transform of a causal system. 7.2. Calculation of the frequency response function, H([symbol]). 7.3. Computer program for calculating H([symbol]) and h(n) of a causal system. 7.4. Derivation of H[symbol] in terms of H[symbol] for a causal system -- 8. Causal high pass filters. 8.1. Ideal filters. 8.2. Momentum. 8.3. Cubic indicators. 8.4. Quartic indicators. 8.5. Quintic indicators. 8.6. Sextic indicators. 8.7. Velocity and acceleration indicator responses on smoothed data -- 9. Skipped convolution. 9.1. Frequency response. 9.2. Skipped exponential moving average. 9.3. Skipped convolution and downsampled signal -- 10. Trading tactics. 10.1. Velocity divergence. 10.2. Moving Average Convergence-Divergence (MACD). 10.3. MACD-Histogram. 10.4. Exponential moving average of an exponential moving average -- 11. Trading system. 11.1. Multiple timeframes. 11.2. Multiple screen trading system. 11.3. Test of a trading system -- 12. Money management-time independent case. 12.1. Probability distribution of price variation. 12.2. Money management-time independent case. 12.1. Probability distribution of price variation. 12.2. Probability of being stopped out in trade. 12.3. Expected value of a trade -- 13. Money management-time dependent case. 13.1. Basic probability theory. 13.2. Trailing stop-loss. 13.3. Fixed stop-loss -- 14. The reality of trading. 14.1. Mind. 14.2. Method. 14.3. Money management. 14.4. Technical analysis. 14.5. Probability theory and money management.
• Titolo autorizzato: Mathematical techniques in financial market trading
• ISBN: 1-281-37910-7; 9786611379100; 981-277-406-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910451302403321
• Lo trovi qui: Univ. Federico II