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Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies.
Description.
Over the last decade, the financial landscape has undergone a significant transformation, shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book.
Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies.
Details the modern financial markets for equities, foreign exchange, and fixed income Addresses the basics of market dynamics, including statistical distributions and volatility of returns Offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies Includes two appendices that support the main material in the book.
If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.
Table of Contents.
Financial Markets: Traders, Orders, and Systems 3.
The Bid/Ask Spread 7.
Market Structures 9.
Continuous Order-Driven Markets 10.
Oral Auctions 11.
Call Auctions 12.
Quote-Driven Markets and Hybrid Markets 13.
Modern Financial Markets 15.
The U. S. Equity Markets 15.
Alternative Trading Systems 17.
European Equity Markets 18.
Spot FX Market 19.
The U. S. Fixed Income Markets 21.
High-Frequency Trading 22.
Inventory Models 26.
Risk-Neutral Models 26.
The Garman’s Model 26.
Amihud-Mendelson Model 29.
Models with Risk Aversion 29.
What Is Risk Aversion? 29.
The Stoll’s Model 31.
Market Microstructure: Information-Based Models 35.
One-Period Model 35.
Multi-Period and Multi-Insider Models 38.
Glosten-Milgrom Model 39.
Further Developments 41.
Models of the Limit-Order Markets 44.
The CMSW Model 44.
The Parlour Model 46.
The Foucault Model 47.
Equilibrium at Zero Volatility 48.
Volatility Effect 49.
New Developments 50.
Empirical Market Microstructure 53.
The Glosten-Harris Model 55.
Structural Models 56.
Recent Empirical Findings 58.
Equity Markets 58.
Global FX Spot Market 60.
Market Dynamics 63.
Statistical Distributions and Dynamics of Returns 65.
Prices and Returns 65.
The Efficient Market Hypothesis 66.
Random Walk and Predictability of Returns 68.
Recent Empirical Findings 69.
Fractals in Finance 72.
Basic Notions 75.
Conditional Heteroskedasticity 77.
Realized Volatility 79.
Market Risk Measurement 81.
Agent-Based Modeling of Financial Markets 86.
Adaptive Equilibrium Models 87.
Non-Equilibrium Price Models 89.
The Observable-Variables Model 91.
Modeling Efficiency of Technical Trading 94.
Modeling the Birth of a Two-Sided Market 95.
Trading Strategies 101.
Technical Trading Strategies 103.
Trend Strategies 105.
Filter Rules 105.
Moving-Average Rules 106.
Channel Breakouts 107.
Momentum and Oscillator Strategies 109.
Complex Geometric Patterns 113.
Arbitrage Trading Strategies 117.
Hedging Strategies 118.
Pair Trading 120.
Cointegration and Causality 121.
Pair Selection 123.
Arbitrage Risks 125.
Back-Testing of Trading Strategies 129.
Performance Measures 131.
Resampling Techniques 133.
Markov Chain Monte Carlo 135.
Random Entry Protocol 136.
Comparing Trading Strategies 137.
Bootstrap Reality Check 138.
New Developments 139.
Execution Strategies 142.
Benchmark-Driven Schedules 143.
Cost-Driven Schedules 145.
Risk-Neutral Framework 145.
Risk-Averse Framework 147.
The Taker’s Dilemma 151.
The Random Walk Model 153.
Simulations of the Execution Costs 154.
Probability Distributions 156.
Basic Notions 156.
Frequently Used Distributions 159.
The Uniform Distribution 159.
The Binomial Distribution 159.
The Poisson Distribution 160.
The Normal Distribution 160.
The Lognormal Distribution 161.
The Cauchy Distribution 162.
The Gamma Distribution 162.
Stable Distributions and Scale Invariance 162.
Elements of Time Series Analysis 165.
The Autoregressive Model 165.
The Moving Average Model 167.
The ARMA Model 168.
Trends and Seasonality 170.
Multivariate Time Series 172.
About the Author 190.
Author Information.
—Bruce Mizrach, Associate Professor, Department of Economics, Rutgers University.
"I recommend Financial Markets and Trading as the insider's look at the structure, practices, and conventions of financial markets, especially within the OTC wholesale environment. Anatoly Schmidt does an excellent job in evaluating and applying various theoretical aspects of creating, testing, and implementing trading programs within several markets and asset classes. I plan to use his book in the curriculum of the Financial Engineering Program at Kent State University."
—John Donato, VP, ICAP PLC; Instructor, Kent State MSFE Program.
"Alec Schmidt has written an excellent textbook that details the complex workings of 21st-century equity markets. His textbook is unique in combining the theory and practice of market microstructure with an extensive, practitioner-oriented treatment of trading strategies."
—Craig Holden, Professor of Finance, Indiana University.
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Trading Strategies and Market Microstructure: Evidence from a Prediction Market.
The Journal of Prediction Markets 10 (1), 1-29, 2016.
29 Pages Posted: 9 Sep 2013 Last revised: 4 Oct 2016.
David M. Rothschild.
Microsoft Research - NYC.
Rajiv Sethi.
Columbia University, Barnard College - Department of Economics; Santa Fe Institute.
Date Written: November 22, 2015.
We examine transaction-level data from Intrade's 2012 presidential winner market for the entire two-year period for which trading occurred. The data allow us to compute key statistics, including volume, transactions, aggression, directional exposure, holding duration, margin, and profit for each of 6,300 unique trader accounts. We identify a diverse set of trading strategies that constitute a rich market ecology. These range from arbitrage-based strategies with low and fleeting directional exposure to strategies involving large accumulated positions in one of the two major party candidates. Most traders who make directional bets do so consistently in a single direction, unlike the information traders in some canonical models of market microstructure. We present evidence suggestive of manipulation by a single large trader, and consider the possible motives for such behavior. Broader implications for the interpretation of prices in financial markets and the theory of market microstructure are drawn.
Keywords: Prediction Markets, Market Microstructure, Trading Strategies, Manipulation.
JEL Classification: G12, D83, D84.
David Rothschild.
Microsoft Research - NYC ( )
641 6th Ave., 7th Floor.
New York, NY 10011.
Rajiv Sethi (Contact Author)
Columbia University, Barnard College - Department of Economics ( )
New York, NY 10027.
Santa Fe Institute.
1399 Hyde Park Road.
Santa Fe, NM 87501.
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Capital Markets: Market Microstructure eJournal.
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Econometric Modeling: Capital Markets - Portfolio Theory eJournal.
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Quant Trading Books.
Please select a category:
Quant Trading Machine Learning General History R Python C++ Programming Fin Math Jobs Hedge Funds Our Bloggers.
This category is curated by: Kris Longmore of Robot Wealth.
Kris is a former engineer and hedge fund quant. He founded Quantify Partners and Robot Wealth, both of which facilitate the pursuit of his obsession with machine learning and algorithmic trading.
(*) Note that Quant Start’s books are only available from their website. We are neither affiliated with Quant Start, nor compensated for this link. We simply enjoy promoting the work of the good guys.
Books curated by the best:
These books are curated by the top rated authors in our community:
When you order through this page, Amazon tosses a few shekels our way. There's no additional cost to you, and it's a great way to show your love for Quantocracy.
Copyright © 2015 · Site Design by: The Dynamic Duo.
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