嶺東科技大學 |

High-frequency trading and probability theory

Record Type:	Electronic resources : monographic
Author:	WangZhaodong,
Alternative Intellectual Responsibility:	ZhengWei'an,
Place of Publication:	Singapore
Published:	World Scientific Publishing Company;
Year of Publication:	2015
Description:	1 online resource (193 p.)ill. (some col.), photo :
Series:	East China Normal University Scientific Reports
Subject:	Investment analysis -
Subject:	Portfolio management -
Subject:	Electronic trading of securities -
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/9233#t=toc
Notes:	Print version record
Summary:	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
ISBN:	9789814616522electronic bk.
ISBN:	9814616524electronic bk.
Content Note:	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

High-frequency trading and probability theory
Wang, Zhaodong

High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng - Singapore : World Scientific Publishing Company, 2015. - 1 online resource (193 p.) ; ill. (some col.), photo. - (East China Normal University Scientific Reports ; Volume 1).
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.
Print version record.
Includes bibliographical references and index.
ISBN 9789814616522ISBN 9814616524
Investment analysisPortfolio managementElectronic trading of securities

Zheng, Wei'an

High-frequency trading and probability theory
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215 1 $a 1 online resource (193 p.) $c ill. (some col.), photo
225 2 $a East China Normal University Scientific Reports $v Volume 1
300 $a Print version record
320 $a Includes bibliographical references and index
327 1 $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
330 $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
410 0 $1 2001 $a East China Normal University Scientific Reports $v Volume 1
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606 $a Portfolio management $3 48933
606 $a Electronic trading of securities $2 lc $3 372306
676 $a 332.64/20285 $v 23
680 $a HG4529 $b W36 2015eb
700 1 $a Wang $b Zhaodong $3 372304
701 1 $a Zheng $b Wei'an $3 372305
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/9233#t=toc