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High-frequency trading and probabili...

Zheng, Wei'an.

High-frequency trading and probability theory /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	High-frequency trading and probability theory // Zhaodong Wang, Weian Zheng.
作者:	Wang, Zhaodong.
其他作者:	Zheng, Wei'an.
出版者:	Singapore :World Scientific Publishing Company, : 2015.,
面頁冊數:	1 online resource (193 p.) :ill. (some col.), photo. :
提要註:	This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic. Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.
標題:	Electronic trading of securities. -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/9233#t=toc
ISBN:	9789814616522

High-frequency trading and probability theory /
Wang, Zhaodong.

High-frequency trading and probability theory /Zhaodong Wang, Weian Zheng. - Singapore :World Scientific Publishing Company,2015. - 1 online resource (193 p.) :ill. (some col.), photo. - East China Normal University Scientific Reports,Volume 12382-5715 ;.

Includes bibliographical references and index.

1. Introduction -- 2. Market microstructure. 2.1. Trading products. 2.2. Trading model. 2.3. Market data information. 2.4. Trading interface. 2.5. Risk control. 2.6. Transaction costs. 2.7. Differences with Western market -- 3. Some basic HFT strategies. 3.1. General. 3.2. Arbitrage. 3.3. Ticker tape trading. 3.4. Market making. 3.5. Event driven. 3.6. Other basic strategies -- 4. IT system. 4.1. Challenges. 4.2. Trading system design. 4.3. Environment. 4.4. Core technologies -- 5. Stationary process and ergodicity. 5.1. Some basics of probability theory. 5.2. Stochastic process. 5.3. Time series analysis. 5.4. Pair-trading revisited -- 6. Stationarity and technical analysis. 6.1. Technical analysis. 6.2. Logarithmic return is stationary. 6.3. Moving average and exponential moving average. 6.4. Bollinger bands. 6.5. Moving average convergence-divergence. 6.6. Rate of change. 6.7. Relative strength index. 6.8. Stochastic oscillators. 6.9. Directional movement index. 6.10. Parabolic SAR -- 7. HFT of a single asset. 7.1. Stochastic integral of stationary processes. 7.2. Two examples -- 8. Bid, ask and trade prices -- 9. Financial engineering. 9.1. Mathematical finance. 9.2. Statistical finance. 9.3. Behavioral finance. 9.4. Computational finance -- 10. Debate and future.

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic. Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.

ISBN: 9789814616522Subjects--Topical Terms:

382705
Electronic trading of securities.

LC Class. No.: HG4529 / .W36 2015eb

Dewey Class. No.: 332.64/20285

High-frequency trading and probability theory /
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082 0 4 $a 332.64/20285 $2 23
100 1 $a Wang, Zhaodong. $3 382703
245 1 0 $a High-frequency trading and probability theory / $c Zhaodong Wang, Weian Zheng.
260 $a Singapore : $c 2015. $b World Scientific Publishing Company,
300 $a 1 online resource (193 p.) : $b ill. (some col.), photo.
490 0 $a East China Normal University Scientific Reports, $x 2382-5715 ; $v Volume 1
504 $a Includes bibliographical references and index.
505 0 $a 1. Introduction -- 2. Market microstructure. 2.1. Trading products. 2.2. Trading model. 2.3. Market data information. 2.4. Trading interface. 2.5. Risk control. 2.6. Transaction costs. 2.7. Differences with Western market -- 3. Some basic HFT strategies. 3.1. General. 3.2. Arbitrage. 3.3. Ticker tape trading. 3.4. Market making. 3.5. Event driven. 3.6. Other basic strategies -- 4. IT system. 4.1. Challenges. 4.2. Trading system design. 4.3. Environment. 4.4. Core technologies -- 5. Stationary process and ergodicity. 5.1. Some basics of probability theory. 5.2. Stochastic process. 5.3. Time series analysis. 5.4. Pair-trading revisited -- 6. Stationarity and technical analysis. 6.1. Technical analysis. 6.2. Logarithmic return is stationary. 6.3. Moving average and exponential moving average. 6.4. Bollinger bands. 6.5. Moving average convergence-divergence. 6.6. Rate of change. 6.7. Relative strength index. 6.8. Stochastic oscillators. 6.9. Directional movement index. 6.10. Parabolic SAR -- 7. HFT of a single asset. 7.1. Stochastic integral of stationary processes. 7.2. Two examples -- 8. Bid, ask and trade prices -- 9. Financial engineering. 9.1. Mathematical finance. 9.2. Statistical finance. 9.3. Behavioral finance. 9.4. Computational finance -- 10. Debate and future.
520 $a This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic. Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.
588 0 $a Print version record.
650 0 $a Electronic trading of securities. $3 382705
650 0 $2 96060 $a Portfolio management. $3 243208
650 0 $2 96060 $a Investment analysis. $3 243209
700 1 $a Zheng, Wei'an. $3 382704
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/9233#t=toc

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