High-frequency trading and probability theory /:
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 ba...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore :
World Scientific Publishing Company,
2015.
|
| Schriftenreihe: | East China Normal University Scientific Reports,
Volume 1 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (193 pages) : illustrations (some color), photographs |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814616522 9814616524 |
| ISSN: | 2382-5715 ; 2382-5715 |
Internformat
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| 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. | ||
| 650 | 0 | |a Investment analysis. |0 http://id.loc.gov/authorities/subjects/sh85067707 | |
| 650 | 0 | |a Portfolio management. |0 http://id.loc.gov/authorities/subjects/sh85105080 | |
| 650 | 0 | |a Electronic trading of securities. |0 http://id.loc.gov/authorities/subjects/sh96010672 | |
| 650 | 0 | |a Corporations |x Finance. |0 http://id.loc.gov/authorities/subjects/sh85032938 | |
| 650 | 0 | |a Business enterprises |x Finance. |0 http://id.loc.gov/authorities/subjects/sh85018286 | |
| 650 | 6 | |a Analyse financière. | |
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| 650 | 7 | |a Corporations |x Finance |2 fast | |
| 650 | 7 | |a Business enterprises |x Finance |2 fast | |
| 650 | 7 | |a Electronic trading of securities |2 fast | |
| 650 | 7 | |a Investment analysis |2 fast | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 700 | 1 | |a Zheng, Wei'an, |e author. | |
| 776 | 0 | 8 | |i Print version: |a Wang, Zhaodong. |t High-frequency trading and probability theory. |d Singapore : World Scientific Publishing Company, ©2015 |h xiii, 178 pages |k East China Normal University Scientific Reports ; Volume 1 |x 2382-5715 |z 9789814616508 |
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| contents | 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. |
| ctrlnum | (OCoLC)893673000 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn893673000 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:16Z |
| institution | BVB |
| isbn | 9789814616522 9814616524 |
| issn | 2382-5715 ; 2382-5715 |
| language | English |
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| physical | 1 online resource (193 pages) : illustrations (some color), photographs |
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| publishDateSort | 2015 |
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| series2 | East China Normal University Scientific Reports, |
| spelling | Wang, Zhaodong, author. High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng. Singapore : World Scientific Publishing Company, 2015. ©2015 1 online resource (193 pages) : illustrations (some color), photographs text txt rdacontent computer c rdamedia online resource cr rdacarrier East China Normal University Scientific Reports, 2382-5715 ; Volume 1 Includes bibliographical references and index. Print version record. 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. Investment analysis. http://id.loc.gov/authorities/subjects/sh85067707 Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Electronic trading of securities. http://id.loc.gov/authorities/subjects/sh96010672 Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Business enterprises Finance. http://id.loc.gov/authorities/subjects/sh85018286 Analyse financière. Gestion de portefeuille. Valeurs mobilières Commerce électronique. BUSINESS & ECONOMICS Finance. bisacsh Corporations Finance fast Business enterprises Finance fast Electronic trading of securities fast Investment analysis fast Portfolio management fast Zheng, Wei'an, author. Print version: Wang, Zhaodong. High-frequency trading and probability theory. Singapore : World Scientific Publishing Company, ©2015 xiii, 178 pages East China Normal University Scientific Reports ; Volume 1 2382-5715 9789814616508 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=862337 Volltext |
| spellingShingle | Wang, Zhaodong Zheng, Wei'an High-frequency trading and probability theory / 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. Investment analysis. http://id.loc.gov/authorities/subjects/sh85067707 Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Electronic trading of securities. http://id.loc.gov/authorities/subjects/sh96010672 Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Business enterprises Finance. http://id.loc.gov/authorities/subjects/sh85018286 Analyse financière. Gestion de portefeuille. Valeurs mobilières Commerce électronique. BUSINESS & ECONOMICS Finance. bisacsh Corporations Finance fast Business enterprises Finance fast Electronic trading of securities fast Investment analysis fast Portfolio management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85067707 http://id.loc.gov/authorities/subjects/sh85105080 http://id.loc.gov/authorities/subjects/sh96010672 http://id.loc.gov/authorities/subjects/sh85032938 http://id.loc.gov/authorities/subjects/sh85018286 |
| title | High-frequency trading and probability theory / |
| title_auth | High-frequency trading and probability theory / |
| title_exact_search | High-frequency trading and probability theory / |
| title_full | High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng. |
| title_fullStr | High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng. |
| title_full_unstemmed | High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng. |
| title_short | High-frequency trading and probability theory / |
| title_sort | high frequency trading and probability theory |
| topic | Investment analysis. http://id.loc.gov/authorities/subjects/sh85067707 Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Electronic trading of securities. http://id.loc.gov/authorities/subjects/sh96010672 Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Business enterprises Finance. http://id.loc.gov/authorities/subjects/sh85018286 Analyse financière. Gestion de portefeuille. Valeurs mobilières Commerce électronique. BUSINESS & ECONOMICS Finance. bisacsh Corporations Finance fast Business enterprises Finance fast Electronic trading of securities fast Investment analysis fast Portfolio management fast |
| topic_facet | Investment analysis. Portfolio management. Electronic trading of securities. Corporations Finance. Business enterprises Finance. Analyse financière. Gestion de portefeuille. Valeurs mobilières Commerce électronique. BUSINESS & ECONOMICS Finance. Corporations Finance Business enterprises Finance Electronic trading of securities Investment analysis Portfolio management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=862337 |
| work_keys_str_mv | AT wangzhaodong highfrequencytradingandprobabilitytheory AT zhengweian highfrequencytradingandprobabilitytheory |