{"product_id":"financial-markets-and-trading-isbn-9780470924129","title":"Financial Markets and Trading","description":"\u003cb\u003eAn informative guide to market microstructure and trading strategies\u003c\/b\u003e  \u003cp\u003eOver 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. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book.\u003c\/p\u003e \u003cp\u003eDivided 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. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eDetails the modern financial markets for equities, foreign exchange, and fixed income\u003c\/li\u003e \u003cli\u003eAddresses the basics of market dynamics, including statistical distributions and volatility of returns\u003c\/li\u003e \u003cli\u003eOffers 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\u003c\/li\u003e \u003cli\u003eIncludes two appendices that support the main material in the book\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eIf you're unprepared to enter today's markets you will underperform. But with \u003ci\u003eFinancial Markets and Trading\u003c\/i\u003e as your guide, you'll quickly discover what it takes to make it in this competitive field.\u003c\/p\u003e \u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003eAcknowledgments xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarket Microstructure 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFinancial Markets: Traders, Orders, and Systems 3\u003c\/p\u003e \u003cp\u003eTraders 3\u003c\/p\u003e \u003cp\u003eOrders 5\u003c\/p\u003e \u003cp\u003eThe Bid\/Ask Spread 7\u003c\/p\u003e \u003cp\u003eLiquidity 9\u003c\/p\u003e \u003cp\u003eMarket Structures 9\u003c\/p\u003e \u003cp\u003eContinuous Order-Driven Markets 10\u003c\/p\u003e \u003cp\u003eOral Auctions 11\u003c\/p\u003e \u003cp\u003eCall Auctions 12\u003c\/p\u003e \u003cp\u003eQuote-Driven Markets and Hybrid Markets 13\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eModern Financial Markets 15\u003c\/p\u003e \u003cp\u003eThe U.S. Equity Markets 15\u003c\/p\u003e \u003cp\u003eThe NYSE 15\u003c\/p\u003e \u003cp\u003eNasdaq 16\u003c\/p\u003e \u003cp\u003eAlternative Trading Systems 17\u003c\/p\u003e \u003cp\u003eEuropean Equity Markets 18\u003c\/p\u003e \u003cp\u003eSpot FX Market 19\u003c\/p\u003e \u003cp\u003eThe U.S. Fixed Income Markets 21\u003c\/p\u003e \u003cp\u003eHigh-Frequency Trading 22\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInventory Models 26\u003c\/p\u003e \u003cp\u003eRisk-Neutral Models 26\u003c\/p\u003e \u003cp\u003eThe Garman’s Model 26\u003c\/p\u003e \u003cp\u003eAmihud-Mendelson Model 29\u003c\/p\u003e \u003cp\u003eModels with Risk Aversion 29\u003c\/p\u003e \u003cp\u003eWhat Is Risk Aversion? 29\u003c\/p\u003e \u003cp\u003eThe Stoll’s Model 31\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarket Microstructure: Information-Based Models 35\u003c\/p\u003e \u003cp\u003eKyle’s Model 35\u003c\/p\u003e \u003cp\u003eOne-Period Model 35\u003c\/p\u003e \u003cp\u003eMulti-Period and Multi-Insider Models 38\u003c\/p\u003e \u003cp\u003eGlosten-Milgrom Model 39\u003c\/p\u003e \u003cp\u003eFurther Developments 41\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eModels of the Limit-Order Markets 44\u003c\/p\u003e \u003cp\u003eThe CMSW Model 44\u003c\/p\u003e \u003cp\u003eThe Parlour Model 46\u003c\/p\u003e \u003cp\u003eThe Foucault Model 47\u003c\/p\u003e \u003cp\u003eEquilibrium at Zero Volatility 48\u003c\/p\u003e \u003cp\u003eVolatility Effect 49\u003c\/p\u003e \u003cp\u003eNew Developments 50\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEmpirical Market Microstructure 53\u003c\/p\u003e \u003cp\u003eRoll’s Model 53\u003c\/p\u003e \u003cp\u003eThe Glosten-Harris Model 55\u003c\/p\u003e \u003cp\u003eStructural Models 56\u003c\/p\u003e \u003cp\u003eRecent Empirical Findings 58\u003c\/p\u003e \u003cp\u003eEquity Markets 58\u003c\/p\u003e \u003cp\u003eGlobal FX Spot Market 60\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarket Dynamics 63\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStatistical Distributions and Dynamics of Returns 65\u003c\/p\u003e \u003cp\u003ePrices and Returns 65\u003c\/p\u003e \u003cp\u003eThe Efficient Market Hypothesis 66\u003c\/p\u003e \u003cp\u003eRandom Walk and Predictability of Returns 68\u003c\/p\u003e \u003cp\u003eRecent Empirical Findings 69\u003c\/p\u003e \u003cp\u003eFractals in Finance 72\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVolatility 75\u003c\/p\u003e \u003cp\u003eBasic Notions 75\u003c\/p\u003e \u003cp\u003eConditional Heteroskedasticity 77\u003c\/p\u003e \u003cp\u003eRealized Volatility 79\u003c\/p\u003e \u003cp\u003eMarket Risk Measurement 81\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAgent-Based Modeling of Financial Markets 86\u003c\/p\u003e \u003cp\u003eAdaptive Equilibrium Models 87\u003c\/p\u003e \u003cp\u003eNon-Equilibrium Price Models 89\u003c\/p\u003e \u003cp\u003eThe Observable-Variables Model 91\u003c\/p\u003e \u003cp\u003eModeling Efficiency of Technical Trading 94\u003c\/p\u003e \u003cp\u003eModeling the Birth of a Two-Sided Market 95\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTrading Strategies 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTechnical Trading Strategies 103\u003c\/p\u003e \u003cp\u003eTrend Strategies 105\u003c\/p\u003e \u003cp\u003eFilter Rules 105\u003c\/p\u003e \u003cp\u003eMoving-Average Rules 106\u003c\/p\u003e \u003cp\u003eChannel Breakouts 107\u003c\/p\u003e \u003cp\u003eMomentum and Oscillator Strategies 109\u003c\/p\u003e \u003cp\u003eComplex Geometric Patterns 113\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eArbitrage Trading Strategies 117\u003c\/p\u003e \u003cp\u003eHedging Strategies 118\u003c\/p\u003e \u003cp\u003ePair Trading 120\u003c\/p\u003e \u003cp\u003eCointegration and Causality 121\u003c\/p\u003e \u003cp\u003ePair Selection 123\u003c\/p\u003e \u003cp\u003eArbitrage Risks 125\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBack-Testing of Trading Strategies 129\u003c\/p\u003e \u003cp\u003ePerformance Measures 131\u003c\/p\u003e \u003cp\u003eResampling Techniques 133\u003c\/p\u003e \u003cp\u003eBootstrap 133\u003c\/p\u003e \u003cp\u003eMarkov Chain Monte Carlo 135\u003c\/p\u003e \u003cp\u003eRandom Entry Protocol 136\u003c\/p\u003e \u003cp\u003eComparing Trading Strategies 137\u003c\/p\u003e \u003cp\u003eBootstrap Reality Check 138\u003c\/p\u003e \u003cp\u003eNew Developments 139\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eExecution Strategies 142\u003c\/p\u003e \u003cp\u003eBenchmark-Driven Schedules 143\u003c\/p\u003e \u003cp\u003eCost-Driven Schedules 145\u003c\/p\u003e \u003cp\u003eRisk-Neutral Framework 145\u003c\/p\u003e \u003cp\u003eRisk-Averse Framework 147\u003c\/p\u003e \u003cp\u003eThe Taker’s Dilemma 151\u003c\/p\u003e \u003cp\u003eThe Random Walk Model 153\u003c\/p\u003e \u003cp\u003eSimulations of the Execution Costs 154\u003c\/p\u003e \u003cp\u003eAppendix a Probability Distributions 156\u003c\/p\u003e \u003cp\u003eBasic Notions 156\u003c\/p\u003e \u003cp\u003eFrequently Used Distributions 159\u003c\/p\u003e \u003cp\u003eThe Uniform Distribution 159\u003c\/p\u003e \u003cp\u003eThe Binomial Distribution 159\u003c\/p\u003e \u003cp\u003eThe Poisson Distribution 160\u003c\/p\u003e \u003cp\u003eThe Normal Distribution 160\u003c\/p\u003e \u003cp\u003eThe Lognormal Distribution 161\u003c\/p\u003e \u003cp\u003eThe Cauchy Distribution 162\u003c\/p\u003e \u003cp\u003eThe Gamma Distribution 162\u003c\/p\u003e \u003cp\u003eStable Distributions and Scale Invariance 162\u003c\/p\u003e \u003cp\u003eAppendix B Elements of Time Series Analysis 165\u003c\/p\u003e \u003cp\u003eThe Autoregressive Model 165\u003c\/p\u003e \u003cp\u003eThe Moving Average Model 167\u003c\/p\u003e \u003cp\u003eThe ARMA Model 168\u003c\/p\u003e \u003cp\u003eTrends and Seasonality 170\u003c\/p\u003e \u003cp\u003eMultivariate Time Series 172\u003c\/p\u003e \u003cp\u003eNotes 174\u003c\/p\u003e \u003cp\u003eReferences 180\u003c\/p\u003e \u003cp\u003eAbout the Author 190\u003c\/p\u003e \u003cp\u003eIndex 191\u003c\/p\u003e   \u003cp\u003e\u003cb\u003eD\u003csmall\u003eR\u003c\/small\u003e. ANATOLY B. SCHMIDT\u003c\/b\u003e 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 \u003ci\u003eQuantitative Finance for Physicists: An Introduction\u003c\/i\u003e. He also teaches in the Financial Engineering Program of Stevens Institute of Technology.     \u003c\/p\u003e\u003cp\u003e\u003cb\u003eFinancial Markets and Trading\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eOver 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. \u003c\/p\u003e\u003cp\u003eNobody 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. \u003c\/p\u003e\u003cp\u003eDivided 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.  \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart One\u003c\/b\u003e 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. \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart Two\u003c\/b\u003e 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. \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart Three\u003c\/b\u003e 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. \u003c\/p\u003e\u003cp\u003eTwo 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. \u003c\/p\u003e\u003cp\u003eIf you're unprepared to enter today's markets you will underperform. But with \u003ci\u003eFinancial Markets and Trading\u003c\/i\u003e as your guide, you'll quickly discover what it takes to make it in this competitive field.     \"Anatoly Schmidt has written an extremely useful book that connects academic theories of market structure to their practical implementation on the trading floor. Both groups should benefit from this conversation. Traders will learn the latest theoretical models of dealer and order driven markets. Students will better understand the challenges of producing profitable trading strategies. Readers interested in learning more about the equity, bond, and foreign exchange markets are fortunate to have this comprehensive guide.\" \u003cbr\u003e —Bruce Mizrach, Associate Professor, Department of Economics, Rutgers University  \u003c\/p\u003e\u003cp\u003e\"I recommend Financial Markets and Trading as the insider's look at the structure, practices, and conventions of financial markets, especially within the OTC wholesale environment. Anatoly Schmidt does an excellent job in evaluating and applying various theoretical aspects of creating, testing, and implementing trading programs within several markets and asset classes. I plan to use his book in the curriculum of the Financial Engineering Program at Kent State University.\"\u003cbr\u003e —John Donato, VP, ICAP PLC; Instructor, Kent State MSFE Program\u003c\/p\u003e \u003cp\u003e\"Alec Schmidt has written an excellent textbook that details the complex workings of 21st-century equity markets. His textbook is unique in combining the theory and practice of market microstructure with an extensive, practitioner-oriented treatment of trading strategies.\"\u003cbr\u003e —Craig Holden, Professor of Finance, Indiana University\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989210874085,"sku":"NP9780470924129","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470924129.jpg?v=1761783222","url":"https:\/\/k12savings.com\/es\/products\/financial-markets-and-trading-isbn-9780470924129","provider":"K12savings","version":"1.0","type":"link"}