TY  - BOOK
AU  - Schmidt,Anatoly B.
ED  - ebrary, Inc.
TI  - Financial markets and trading: an introduction to market microstructure and trading strategies 
T2  - Wiley finance
AV  - HG4650 .S36 2011eb
U1  - 332.64 22
PY  - 2011///
CY  - Hoboken, N.J.
PB  - Wiley
KW  - Fixed-income securities
KW  - Stock exchanges
KW  - Microfinance
KW  - Electronic books
KW  - local
N1  - Includes bibliographical references and index; pt. 1. Market microstructure -- pt. 2. Market dynamics -- pt. 3. Trading strategies; Electronic reproduction; Palo Alto, Calif.; ebrary; 2011; Available via World Wide Web; Access may be limited to ebrary affiliated libraries
N2  - "Financial Markets and Trading Strategies covers three main parts: Market organization and microstructure theory, which will contain an overview of modern financial markets for equities, FX, and fixed income. There will be a description on various market types and market price formation with different types of traders and orders. Major theoretical microstructure models will be presented, as also concepts of the agent-based modeling of financial markets and important empirical properties of equity and FX markets. Common trading strategies and back-testing will summarize the concepts used in technical analysis and arbitrage trading (such as pairs trading and mean-reversion strategies). There will be a description of performance criteria and back-testing of trading strategies with re-sampling techniques and an outline of other ideas used in optimal order execution, such as optimal order slicing and maker-versus-taker strategies. The appendix will include Probability distributions and time series analysis. For self-contained presentation, there will be a description of the mathematical methods used in formulating trading strategies and their back-testing. There will be a focus on the linear regression, autoregressive and moving average models, trends, co-integration, and conditional heteroskedasticity. There will also be an introduction to resampling techniques, such as bootstrap and MCMC"--
UR  - http://site.ebrary.com/lib/strathmore/Doc?id=10484663
ER  -