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作者 Wang, Zhaodong
書名 High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng
出版項 Singapore : World Scientific Publishing Company, 2015
國際標準書號 9789814616522 (electronic bk.)
9814616524 (electronic bk.)
9789814616508
book jacket
說明 1 online resource (193 p.) : ill. (some col.), photo
系列 East China Normal University Scientific Reports, 2382-5715 ; Volume 1
附註 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
Print version record
主題 Investment analysis
Portfolio management
Electronic trading of securities
Alt Author Zheng, Wei'an
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