Screen LibraryHigh-frequency trading models
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| Main Authors: | |
|---|---|
| Published: |
John Wiley & Sons,
|
| Publisher Address: | Hoboken, N.J. |
| Publication Dates: | c2011. |
| Literature type: | Book |
| Language: | English |
| Series: |
[Wiley trading] |
| Subjects: | |
| Carrier Form: | xiv, 322 p.: ill. ; 24 cm. |
| ISBN: |
9780470633731 0470633735 |
| Index Number: | F830 |
| CLC: | F830.59-32 |
| Call Number: | F830.59-32/Y37 |
| Contents: |
Includes bibliographical references (p. 303-313) and index. Revenue models of high-frequency trading. High-frequency trading and existing revenue models -- Roots of high-frequency trading in revenue models of investment management -- History and future of high-frequency trading with investment management -- Theoretical models as foundation of computer algos for high-frequency trading. Behavioral economics models on loss aversion -- Loss aversion in option pricing: integrating two Nobel models -- Expanding the size of options in option pricing -- Multinomial models for equity returns -- More multinomial models and signal detection models for risk propensity -- Behavioral economics models on fund switching and reference prices -- A unique model of sentiment asset pricing engine for portfolio management. A sentiment asset pricing model -- SAPE for portfolio management: effectiveness and strategies -- New models of high-frequency trading. Derivatives -- Technology infrastructure for creating computer algos -- Creating computer algos for high-frequency trading. Accounting for over 60 percent of equity trading volume and generating huge profits for a number of firms, high-frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many institutions and individuals are looking for ways to make high-frequency trading work for them. -- |