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Author : Howard Bandy
Publisher :
ISBN 13 : 9780979183836
Total Pages : 376 pages
Book Rating : 4.1/5 (838 download)
Download or read book Quantitative Trading Systems, Second Edition written by Howard Bandy and published by . This book was released on 2011-06-02 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frédéric Abergel
Publisher : Cambridge University Press
ISBN 13 : 1316870480
Total Pages : 242 pages
Book Rating : 4.3/5 (168 download)
Download or read book Limit Order Books written by Frédéric Abergel and published by Cambridge University Press. This book was released on 2016-05-09 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
Author : Frank Hahn
Publisher : Oxford University Press, USA
ISBN 13 :
Total Pages : 528 pages
Book Rating : 4.3/5 (91 download)
Download or read book The Economics of Missing Markets, Information, and Games written by Frank Hahn and published by Oxford University Press, USA. This book was released on 1989 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers is the result of a Cambridge University study of the consequences of missing markets, asymmetric information, market-dependent information, strategic market situations, and the role of quantity signals. The contributors also consider the behavior of overlapping generation models and their macroeconomic implications, providing a useful reference text on most of the main issues of current interest to economic theorists.
Author : Ingmar Nolte
Publisher : Routledge
ISBN 13 : 1317570766
Total Pages : 377 pages
Book Rating : 4.3/5 (175 download)
Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Author : Álvaro Cartea
Publisher : Cambridge University Press
ISBN 13 : 1316453650
Total Pages : 360 pages
Book Rating : 4.3/5 (164 download)
Download or read book Algorithmic and High-Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
Author : Paul Mladjenovic
Publisher : For Dummies
ISBN 13 : 0470478918
Total Pages : 384 pages
Book Rating : 4.4/5 (74 download)
Download or read book Stock Investing For Dummies written by Paul Mladjenovic and published by For Dummies. This book was released on 2009-01-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Investing For Dummies, 3rd Edition includes information on stock investing in both bear and bull markets; unique investment segments; stock investing for different types of situations; and examples straight from the real world of stock investing as they have occurred in the past three years.
Author : Luc Bauwens
Publisher : Springer Science & Business Media
ISBN 13 : 147573381X
Total Pages : 192 pages
Book Rating : 4.4/5 (757 download)
Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Author : Lawrence E. Harris
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (318 download)
Download or read book Liquidity, Trading Rules, and Electronic Trading Systems written by Lawrence E. Harris and published by . This book was released on 1991 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Larry Harris
Publisher : OUP USA
ISBN 13 : 9780195144703
Total Pages : 664 pages
Book Rating : 4.1/5 (447 download)
Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author : Maureen O'Hara
Publisher : John Wiley & Sons
ISBN 13 : 0631207619
Total Pages : 310 pages
Book Rating : 4.6/5 (312 download)
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Author : Frank de Jong
Publisher : Cambridge University Press
ISBN 13 : 1139478443
Total Pages : 209 pages
Book Rating : 4.1/5 (394 download)
Download or read book The Microstructure of Financial Markets written by Frank de Jong and published by Cambridge University Press. This book was released on 2009-05-14 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Author : William H. Pike
Publisher : McGraw-Hill Professional Publishing
ISBN 13 :
Total Pages : 344 pages
Book Rating : 4.3/5 (97 download)
Download or read book Why Stocks Go Up (and Down) written by William H. Pike and published by McGraw-Hill Professional Publishing. This book was released on 1983 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Deniz Ozenbas
Publisher : Springer Nature
ISBN 13 : 3030748170
Total Pages : 111 pages
Book Rating : 4.0/5 (37 download)
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author : Puneet Handa
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Limit Order Trading written by Puneet Handa and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyzes the rationale for and profitably of limit order trading. Although limit orders are essential to the functioning of order driven markets, their use has received relatively little attention in the literature. Trading via limit order is, in fact, sub-optimal when transaction prices change solely in response to new information. We suggest that in an order driven market a paucity of limit orders can result in order imbalances causing the transaction price to move temporarily away and then revert to the true price. Such short term changes in transaction price can offset losses incurred by limit order traders because of permanent changes in transaction price due to information. Further, we suggest that the markets can be in ecological balance with liquidity driven price changes being just sufficient for the flow of market and limit orders to equilibrate. We use transaction data for the Dow Jones Industrial stocks for 1988 to compare a limit order strategy with a market order strategy, and find that limit order returns conditional on non-execution are lower. We also test the profitability of placing a network of buy and sell limit orders, and document the existence of a limit order spread that is appreciably greater than the posted bid-ask spread. Our findings suggest that trading via limit orders is desirable for participants who are willing to risk non-execution, and that trading via market orders is desirable for participants who are not willing to take the risk.
Author : Peter Joakim Westerholm
Publisher : World Scientific
ISBN 13 : 9813234113
Total Pages : 267 pages
Book Rating : 4.8/5 (132 download)
Download or read book Lecture Notes In Market Microstructure And Trading written by Peter Joakim Westerholm and published by World Scientific. This book was released on 2018-11-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.
Author : Michael J. Sandel
Publisher : Farrar, Straus and Giroux
ISBN 13 : 1429942584
Total Pages : 256 pages
Book Rating : 4.4/5 (299 download)
Download or read book What Money Can't Buy written by Michael J. Sandel and published by Farrar, Straus and Giroux. This book was released on 2012-04-24 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Should we pay children to read books or to get good grades? Should we allow corporations to pay for the right to pollute the atmosphere? Is it ethical to pay people to test risky new drugs or to donate their organs? What about hiring mercenaries to fight our wars? Auctioning admission to elite universities? Selling citizenship to immigrants willing to pay? In What Money Can't Buy, Michael J. Sandel takes on one of the biggest ethical questions of our time: Is there something wrong with a world in which everything is for sale? If so, how can we prevent market values from reaching into spheres of life where they don't belong? What are the moral limits of markets? In recent decades, market values have crowded out nonmarket norms in almost every aspect of life—medicine, education, government, law, art, sports, even family life and personal relations. Without quite realizing it, Sandel argues, we have drifted from having a market economy to being a market society. Is this where we want to be?In his New York Times bestseller Justice, Sandel showed himself to be a master at illuminating, with clarity and verve, the hard moral questions we confront in our everyday lives. Now, in What Money Can't Buy, he provokes an essential discussion that we, in our market-driven age, need to have: What is the proper role of markets in a democratic society—and how can we protect the moral and civic goods that markets don't honor and that money can't buy?
Author : Patrick Edward Conroy
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.:/5 (222 download)
Download or read book Limit Orders Versus Market Orders written by Patrick Edward Conroy and published by . This book was released on 19?? with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
