High-frequency trading and probability theory / Zhaodong Wang and Weian Zheng.
Material type:
TextSeries: East China Normal University scientific reports ; v 1.Publication details: Singapore : World Scientific, c2015.Description: xiii, 178 p. : illustrations (some color), photographs ; 24 cmISBN: - 9789814616515 (pbk. : alk. paper)
- 332.6420285 23 W246
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 332.6420285 W246 (Browse shelf(Opens below)) | Available | 136057 |
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| 332.642 C774 Mathematical theory of minority games | 332.642 D389 Stock markets, investments and corporate behavior : a conceptual framework of understanding / | 332.642 V857 Information and learning in markets the impact of market microstructure | 332.6420285 W246 High-frequency trading and probability theory / | 332.64254 H668 Indian stock market : | 332.64254 SB SEBI Bulletin | 332.64254 SB SEBI Bulletin |
Includes bibliographical references (pages 171-173) 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--
References--
Index.
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.
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