High-frequency trading and probability theory / Zhaodong Wang, Weian Zheng.

Format:

Book

Author/Creator:

Wang, Zhaodong, author.

Zheng, Wei'an, author.

Series:

East China Normal University Scientific Reports

East China Normal University Scientific Reports, 2382-5715 ; Volume 1

Language:

English

Subjects (All):

Investment analysis.

Portfolio management.

Electronic trading of securities.

Physical Description:

1 online resource (193 p.)

Place of Publication:

Singapore : World Scientific Publishing Company, 2015.

Language Note:

English

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 proces

Contents:

Contents; Foreword; Preface; About the Authors; 1. Introduction; 2. Market Microstructure; 2.1 Trading Products; 2.2 Trading Model; 2.2.1 Continuous Trading; 2.2.2 Auction; 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; 3.2.1 Definition of Arbitrage; 3.2.2 Different Types of Arbitrage; 3.2.3 Process of 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 Design4.2.1 Trading Interface; 4.2.2 Trading Process Control; 4.2.3 Risk Control and Surveillance; 4.2.4 Strategy Implementation; 4.2.5 Monitoring; 4.3 Environment; 4.3.1 Programming Language; 4.3.2 Server and Operation System Selection; 4.3.3 Network Environment; 4.4 Core Technologies; 4.4.1 Single-Process vs. Multi-Process; 4.4.2 Code Optimization; 4.4.3 Memory Management; 4.4.4 Managing CPU Cache; 5. Stationary Process and Ergodicity; 5.1 Some Basics of Probability Theory; 5.1.1 Probability Space; 5.1.2 Random Variables; 5.1.3 Conditional Probability

5.1.4 Two Main Theorems5.1.4.1 The strong law of large number; 5.1.4.2 The central limit theorem; 5.2 Stochastic Process; 5.2.1 Examples of Stochastic Processes; 5.2.2 Stationary Process and Ergodic Theory; 5.2.2.1 The strong ergodic theorem; 5.2.3 Testing Stationarity; 5.2.4 Semi-Martingales and Filtering Problem; 5.2.5 Stationary Process as Noises; 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-Divergence6.6 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; 7.1.1 Ito-Riemann Sums and Their Limit; 7.1.2 Profit of HFT and Strong Ergodic Theorem; 7.1.3 Sharpe Ratio Test for HFT; 7.2 Two Examples; 7.2.1 The First Example; 7.2.2 The Second Example; 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 FutureReferences; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

981-4616-52-4