Foreword | |
Preface | |
How TraderEx Works | |
Who This Book is For | |
Overview of the Book | |
Downloading the TraderEx Software | |
How TraderEx Works with Micro Markets | |
Acknowledgements | |
An Overview of Equity Market Trading | |
Equity Market Trading | |
The Costs of Trading | |
Liquidity | |
Market Structure | |
Informational Efficiency (or the Lack Thereof) | |
Expectations | |
The Players | |
Summary | |
Simulation as a Learning Tool | |
Canned versus Computer Generated Prices and Quotes | |
Appendix: Intertemporal Returns Correlation | |
Summary | |
How to Use TraderEx | |
An Overview of the TraderEx Environment | |
The Continuous Order Book Market | |
The Dealer Market | |
Call Auctions | |
Block Trading Facility | |
Crossing Network | |
Hybrid Markets | |
Summary | |
Introduction to the Trading Exercises | |
The Buy-Side Perspective | |
The Sell-Side Intermediary Perspective | |
TraderEx Performance Measures | |
Summary | |
TraderEx Exercises | |
Microeconomics Goes to Market | |
The Look of a Financial Market | |
What Are Your Attitudes Toward Risk? | |
Call Market Trading | |
Trading Costs in Action | |
Dealer Costs and Inventory Control | |
Inter-Market Competition for a Stock Exchange | |
Finding an Equilibrium Value | |
Economic Effects of an Order Protection Rule | |
Conclusion | |
The Order Book Market Structure | |
Entering Limit Orders | |
Entering Market Orders | |
Adjusting Limit Orders | |
Sizing your Orders - Markets and Limits | |
Post-Trade Analysis | |
A Really Big Order | |
Illiquidity | |
Heightened Volatility | |
News and Changing Expectations | |
Endogenous Expectations | |
A One-Year Holding Period | |
Crossing Networks | |
A Networked Simulation | |
Conclusion | |
The Call Auction Market Structure | |
The Price Setting Mechanism in TraderEx Call Auctions | |
Mechanics of the Opening Call Auction | |
Your TraderEx Call Auction Orders | |
Your Influence on TraderEx Call Auction Prices | |
Participating in the Opening Call Auction | |
Working a Large Order with Call Auctions | |
Proprietary Trading with Call Auction, and News Releases | |
Emphasizing Different Dimensions of Trading Performance | |
A Partially Disclosed Call Auction | |
Conclusion | |
Dealer Markets: What Do the Trading Intermediaries Do? | |
Operations of Quote Driven Markets | |
Changing Quotes to Control Your Inventory | |
Market Maker Performance | |
Market Maker Risk Performance | |
Preferencing in Market Maker Systems | |
Volatility and Market Making | |
Low Liquidity and Market Making | |
Alternative Trading Systems and Market Making | |
Conclusion | |
Dark Pools: How Undisclosed Liquidity Works | |
Mechanics of the Dark Pool | |
Seeking Advantages from Dark Pool Pricing | |
Working a Large Order with a Dark Pool | |
Proprietary Trading with Call Auction, and News Releases | |
Emphasizing Different Dimensions of Trading Performance | |
Dark Pools and Trade-Through Rules | |
Conclusion | |
About the Authors | |
Index | |
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