Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies
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From the Back Cover
Financial Markets and Trading
Over the last decade, the financial landscape has undergone a significant transformation--shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about.
Nobody understands this better than author Anatoly Schmidt, and in his new book, he puts these topics in perspective by providing you with an informative overview of modern financial markets, and the theoretical concepts of market microstructure, as well as an engaging assessment of the methods used in deriving and back-testing trading strategies.
Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners.
Part One details the modern financial markets for equities, foreign exchange, and fixed income--starting with an introduction to various types of traders, orders, and market structures and then presenting the major market microstructure models. Some important empirical properties of modern equity and foreign exchange markets are also described.
Part Two addresses the basics of market dynamics, including statistical distributions, dynamics, and volatility of returns--discussing the efficient market hypothesis and possible predictability of returns as well as introducing the concepts of agent-based modeling of financial markets.
Part Three is devoted entirely to trading, and offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies. Ideas used in optimal order execution, such as optimal order slicing and the taker's dilemma, are also examined.
Two appendices are also included to support the main material in this book. Appendix A provides reference material on basic statistical notions and statistical distributions that are frequently used in finance. And Appendix B describes the main concepts of time series analysis: autoregressive and moving average models, trends and seasonality, and multivariate models.
If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.
DR. ANATOLY B. SCHMIDT holds a master of science and PhD in physics from University of Latvia. He has been working as a quantitative analyst in the financial industry since 1997. Dr. Schmidt has published several papers on agent-based modeling of financial markets, market microstructure, and algorithmic trading as well as a book entitled Quantitative Finance for Physicists: An Introduction. He also teaches in the Financial Engineering Program of Stevens Institute of Technology.
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