Financial markets and trading : an introduction to market microstructure and trading strategies / Anatoly B. Schmidt. [electronic resource] Schmidt, Anatoly B. Fixed-income securities. Stock exchanges. Microfinance. HG4650 .S36 2011eb 332.64 22 Includes bibliographical references and index. Print version record. "Financial Markets and Trading Strategies covers three main parts: Market organization and microstructure theory, which will contain an overview of modern financial markets for equities, FX, and fixed income. There will be a description on various market types and market price formation with different types of traders and orders. Major theoretical microstructure models will be presented, as also concepts of the agent-based modeling of financial markets and important empirical properties of equity and FX markets. Common trading strategies and back-testing will summarize the concepts used in technical analysis and arbitrage trading (such as pairs trading and mean-reversion strategies). There will be a description of performance criteria and back-testing of trading strategies with re-sampling techniques and an outline of other ideas used in optimal order execution, such as optimal order slicing and maker-versus-taker strategies. The appendix will include Probability distributions and time series analysis. For self-contained presentation, there will be a description of the mathematical methods used in formulating trading strategies and their back-testing. There will be a focus on the linear regression, autoregressive and moving average models, trends, co-integration, and conditional heteroskedasticity. There will also be an introduction to resampling techniques, such as bootstrap and MCMC"-- Provided by publisher. Hoboken, N.J. : Wiley, 2011. 2011. 2011 Text 1 online resource (xiii, 184 pages) : http://onlinelibrary.wiley.com/book/10.1002/9781118268094 eng Wiley finance ; 637 Wiley finance series ; 637. Financial markets and trading. Financial markets and trading.