Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies

Index

Adaptive equilibrium model, 87

Adaptive market hypothesis (AMH), 67

Adverse selection, 8, 22, 35, 40–42, 53, 55, 56, 62

Akaike information criterion (AIC), 130

Algorithmic trading, 59, 142

Alternative trading system (ATS), 15, 17, 25

Amihud-Milgrom model, 29, 31, 33

Auction

call, 12, 13

oral, 11, 12

Arbitrage

convertible, 119, 128

deterministic, 117, 128

event driven, 120, 125, 128

merger, 120, 128

mortgage-backed securities (MBS), 120

fixed income, 119, 120, 128

relative value, 120, 128

statistical, 117, 120, 128

Arbitrage Pricing Theory (APT), 120, 121

Autocorrelation function (ACF), 168

Autocovariance, 159, 168

Autoregressive conditional heteroskedascisity (ARCH), 77

generalized (GARCH), 78, 79, 134

exponential (EGARCH), 79

integrated (IGARCH), 79

Autoregressive process (AR), 57, 62, 75, 134, 165–167

Autoregressive moving average model (ARMA), 124, 130, 165–167

integrated (ARIMA), 168

Bar, 105

Bayes’ rule, 39, 175

Bertrand competition model, 38

Bid/ask spread, 6–9, 11, 14, 17, 26, 29, 32–34, 36, 37, 41–45, 49–52.

Binomial distribution, 160

Bollinger bands, 109

Bootstrap, 130, 133, 137, 140, 141

block, 134

stationary, 134, 137

reality check, 139

Bounded rationality, 67, 90

Black-Scholes theory

Broker, 3, 4, 7, 10, 11, 16–18, 20–25, 125

Brownian bridge, 127

Brownian motion, 32, 38, 42, 45, 59, 68, 79, 135

fractional, 73

geometric, 153 191

standard, 68, 124, 153

Buy-side, 3, 21, 144

Calmar ratio, 133

Capital Asset Pricing Model (CAPM), 32, 81, 82, 118, 121

Cauchy distribution, ...