What is included with this book?
Preface | p. ix |
Acknowledgments | p. xiii |
Market Microstructure | p. 1 |
Financial Markets: Traders, Orders, and Systems | p. 3 |
Traders | p. 3 |
Orders | p. 5 |
The Bid/Ask Spread | p. 7 |
Liquidity | p. 9 |
Market Structures | p. 9 |
Continuous Order-Driven Markets | p. 10 |
Oral Auctions | p. 11 |
Call Auctions | p. 12 |
Quote-Driven Markets and Hybrid Markets | p. 13 |
Modern Financial Markets | p. 15 |
The U.S. Equity Markets | p. 15 |
The NYSE | p. 15 |
NASDAQ | p. 16 |
Alternative Trading Systems | p. 17 |
European Equity Markets | p. 18 |
Spot FX Market | p. 19 |
The U.S. Fixed Income Markets | p. 21 |
High-Frequency Trading | p. 22 |
Inventory Models | p. 26 |
Risk-Neutral Models | p. 26 |
The Garman's Model | p. 26 |
Amihud-Mendelson Model | p. 29 |
Models with Risk Aversion | p. 29 |
What Is Risk Aversion? | p. 29 |
The Stall's Model | p. 31 |
Market Microstructure: Information-Based Models | p. 35 |
Kyle's Model | p. 35 |
One-Period Model | p. 35 |
Multi-Period and Multi-Insider Models | p. 38 |
Glosten-Milgrom Model | p. 39 |
Further Developments | p. 41 |
Models of the Limit-Order Markets | p. 44 |
The CMSW Model | p. 44 |
The Parlour Model | p. 46 |
The Foucault Model | p. 47 |
Equilibrium at Zero Volatility | p. 48 |
Volatility Effect | p. 49 |
New Developments | p. 50 |
Empirical Market Microstructure | p. 53 |
Roll's Model | p. 53 |
The Glosten-Harris Model | p. 55 |
Structural Models | p. 56 |
Recent Empirical Findings | p. 58 |
Equity Markets | p. 58 |
Global FX Spot Market | p. 60 |
Market Dynamics | p. 63 |
Statistical Distributions and Dynamics of Returns | p. 65 |
Prices and Returns | p. 65 |
The Efficient Market Hypothesis | p. 66 |
Random Walk and Predictability of Returns | p. 68 |
Recent Empirical Findings | p. 69 |
Fractals in Finance | p. 72 |
Volatility | p. 75 |
Basic Notions | p. 75 |
Conditional Heteroskedasticity | p. 77 |
Realized Volatility | p. 79 |
Market Risk Measurement | p. 81 |
Agent-Based Modeling of Financial Markets | p. 86 |
Adaptive Equilibrium Models | p. 87 |
Non-Equilibrium Price Models | p. 89 |
The Observable-Variables Model | p. 91 |
Modeling Efficiency of Technical Trading | p. 94 |
Modeling the Birth of a Two-Sided Market | p. 95 |
Trading Strategies | p. 101 |
Technical Trading Strategies | p. 103 |
Trend Strategies | p. 105 |
Filter Rules | p. 105 |
Moving-Average Rules | p. 106 |
Channel Breakouts | p. 107 |
Momentum and Oscillator Strategies | p. 109 |
Complex Geometric Patterns | p. 113 |
Arbitrage Trading Strategies | p. 117 |
Hedging Strategies | p. 118 |
Pair Trading | p. 120 |
Cointegration and Causality | p. 121 |
Pair Selection | p. 123 |
Arbitrage Risks | p. 125 |
Back-Testing of Trading Strategies | p. 129 |
Performance Measures | p. 131 |
Resampling Techniques | p. 133 |
Bootstrap | p. 133 |
Markov Chain Monte Carlo | p. 135 |
Random Entry Protocol | p. 136 |
Comparing Trading Strategies | p. 137 |
Bootstrap Reality Check | p. 138 |
New Developments | p. 139 |
Execution Strategies | p. 142 |
Benchmark-Driven Schedules | p. 143 |
Cost-Driven Schedules | p. 145 |
Risk-Neutral Framework | p. 145 |
Risk-Averse Framework | p. 147 |
The Taker's Dilemma | p. 151 |
The Random Walk Model | p. 153 |
Simulations of the Execution Costs | p. 154 |
Probability Distributions | p. 156 |
Basic Notions | p. 156 |
Frequently Used Distributions | p. 159 |
The Uniform Distribution | p. 159 |
The Binomial Distribution | p. 159 |
The Poisson Distribution | p. 160 |
The Normal Distribution | p. 160 |
The Lognormal Distribution | p. 161 |
The Cauchy Distribution | p. 162 |
The Gamma Distribution | p. 162 |
Stable Distributions and Scale Invariance | p. 162 |
Elements of Time Series Analysis | p. 165 |
The Autoregressive Model | p. 165 |
The Moving Average Model | p. 167 |
The ARMA Model | p. 168 |
Trends and Seasonality | p. 170 |
Multivariate Time Series | p. 172 |
Notes | p. 174 |
References | p. 180 |
About the Author | p. 190 |
Index | p. 191 |
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