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Book Cover
Book
Author Schmidt, Anatoly B.

Title Financial markets and trading : an introduction to market microstructure and trading strategies / Anatoly B. Schmidt
Published Hoboken, N.J. : Wiley, [2011]
©2011

Copies

Location Call no. Vol. Availability
 MELB  332.64 Sch/Fma  AVAILABLE
Description xiii, 194 pages : illustrations ; 24 cm
Series Wiley finance series
Wiley finance series.
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
Bibliography Includes bibliographical references and index
Subject Fixed-income securities.
Stock exchanges.
Microfinance.
LC no. 2011008890
ISBN 9780470924129 hardback
0470924128 hardback