Financial markets and trading an introduction to market microstructure and trading strategies - Schmidt, Anatoly B. (Wiley, 2011)
Front Matter -- Market Microstructure. Financial Markets: Traders, Orders, and Systems -- Modern Financial Markets -- Inventory Models -- Market Microstructure: Information-Based Models -- Models of the Limit-Order Markets -- Empirical Market Microstructure -- Market Dynamics. Statistical Distributions and Dynamics of Returns -- Volatility -- Agent-Based Modeling of Financial Markets -- Trading Strategies. Technical Trading Strategies -- Arbitrage Trading Strategies -- Back-Testing of Trading Strategies -- Execution Strategies -- Appendix A: Probability Distributions -- Appendix B: Elements of Time Series Analysis -- Notes -- References -- About the Author -- Index