TY  - BOOK
AU  - Wang,Zhaodong
AU  - Zheng,Weian
TI  - High-frequency trading and probability theory
T2  - East China Normal University scientific reports
SN  - 9789814616515 (pbk. : alk. paper)
U1  - 332.6420285 23
PY  - 2015///
CY  - Singapore
PB  - World Scientific
KW  - Investment analysis
KW  - Portfolio management
KW  - Electronic trading of securities
N1  - 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
N2  - 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.
ER  -