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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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The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.