The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets (McGraw-Hill Financial Investing) - Hardcover

GREGORIOU

Hardcover

ISBN 10: 0071743537 ISBN 13: 9780071743532

Verlag: McGraw Hill, 2010

Inhaltsangabe

Make the post-meltdown markets work for you,using the unparalleled insight of today'stop global investing experts!

"This book provides a collection of papers that examine tradingexecution, technical trading, and trading strategies, as well as algorithmsin different markets (equities, forex, fixed income, exchange traded funds,derivatives, and commodities) around the world. This is particularly relevantgiven the recent explosion in trading volumes."
Tarun Chordia, R. Howard Dobbs Chair in Finance,Goizueta Business School, Emory University

"This book uses a number of well-respected authors in the area of asset trading.It provides a comprehensive analysis of trading-related issues coveringmomentum trading, algorithmic trading, the use of technical trading rules,strategies for ETFs, and the role of trading volume."
Professor John Cotter, Director of the Centre for Financial Markets,University College Dublin School of Business, University College Dublin

"The Handbook of Trading is a good reference tool for both practitionersand academics. The contents cover a wide range of topical issues."
Professor Robert McGee, Director of the Center for Accounting, Auditing, and Tax Studies,College of Business Administration, Florida International University

About the Book:

Given today's market volatility, eventhe most advanced investors can beunsure of their next move. Ratherthan rely on one or two individuals who claimgeneral knowledge on any given investingtopic, you need the advice of professionalswho have spent their entire careers developingreal expertise on more focused sectors ofthe market.

The Handbook of Trading is the only bookavailable that provides just that.Greg N. Gregoriou has amassed forty of theworld's top academics, researchers, and practitionerswho explain how to make today'smarkets work for you. With this highly technicalbut ultimately practical guide, you haveaccess to a broad array of trading strategiesthat will put you light years ahead of thecompetition-regardless of the state of themarket.

From technical analysis and momentumtrading to algorithmic and FOREX trading,The Handbook of Trading introduces you totechniques and insights never before published,each of which has been rigorouslyback-tested and analyzed. Chapters include:

• Performance Leakage and ValueDiscounts on the Toronto StockExchange
  Lawrence Kryzanowskiand Skander Lazrak
• Trading in Turbulent Markets: DoesMomentum Work?
  Tim A. Herbergerand Daniel M. Kohlert
• Profitability of Technical Trading Rulesin an Emerging Market
  DimitrisKenourgios and Spyros Papathanasiou
• Leveraged Exchange-Traded Fundsand Their Trading Strategies
  NaratCharupat
• The Impact of Algorithmic TradingModels on the Stock Market
  OhannesG. Paskelian

Applying critical lessons learned from the financialcrisis of 2008-2009, the contributorsexplain how to approach turbulent marketenvironments and adjust your trading methodologiesaccordingly.

The Handbook of Trading is the go-to guidefor financial professionals seeking profits intoday's currency, bond, and stock markets.

Correlating PowerPoint slides and readingquestions created by the contributors appear onhttp://www.mhprofessional.com/handbookoftrading.

Über diesen Titel

Über die Autorin bzw. den Autor

Greg N. Gregoriou is a professor of finance in the School of Business and Economics at the State University of New York (Plattsburgh). He is co-editor of the Journal of Derivatives and Hedge Funds and an editorial board member of the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. His books with McGraw-Hill include The Credit Derivatives Handbook, The VaR Modeling Handbook, and The Risk Modeling Evaluation Handbook. He lives in Plattsburgh, NY.

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The Handbook of Trading

STRATEGIES FOR NAVIGATING AND PROFITING FROM CURRENCY, BOND, AND STOCK MARKETS

By GREG N. GREGORIOU

The McGraw-Hill Companies, Inc.

Copyright © 2010 The McGraw-Hill Companies, Inc.
All rights reserved.

ISBN: 978-0-07-174353-2

Contents

EDITOR
CONTRIBUTORS
ACKNOWLEDGMENTS
PART I EXECUTION AND MOMENTUM TRADING
CHAPTER 1 PERFORMANCE LEAKAGE AND VALUE DISCOUNTS ON THE TORONTO STOCK 
EXCHANGE Lawrence Kryzanowski and Skander Lazrak
CHAPTER 2 INFORMED TRADING IN PARALLEL AUCTION AND DEALER MARKETS: THE 
CASE OF THE LONDON STOCK EXCHANGE Pankaj K. Jain, Christine Jiang, Thomas 
H. McInish, and Nareerat Taechapiroontong
CHAPTER 3 MOMENTUM TRADING FOR THE PRIVATE INVESTOR Alexander Molchanov 
and Philip A. Stork
CHAPTER 4 TRADING IN TURBULENT MARKETS: DOES MOMENTUM WORK? Tim A. 
Herberger and Daniel M. Kohlert
CHAPTER 5 THE FINANCIAL FUTURES MOMENTUM Juan Ayora and Hipòlit Torró
CHAPTER 6 ORDER PLACEMENT STRATEGIES IN DIFFERENT MARKET STRUCTURES: A 
PRIMER Giovanni Petrella
PART II TECHNICAL TRADING
CHAPTER 7 PROFITABILITY OF TECHNICAL TRADING RULES IN AN EMERGING MARKET 
Dimitris Kenourgios and Spyros Papathanasiou
CHAPTER 8 TESTING TECHNICAL TRADING RULES AS PORTFOLIO SELECTION 
STRATEGIES Vlad Pavlov and Stan Hurn
CHAPTER 9 DO TECHNICAL TRADING RULES INCREASE THE PROBABILITY OF WINNING? 
EMPIRICAL EVIDENCE FROM THE FOREIGN EXCHANGE MARKET Alexandre Repkine
CHAPTER 10 TECHNICAL ANALYSIS IN TURBULENT FINANCIAL MARKETS: DOES 
NONLINEARITY ASSIST? Mohamed El Hedi Arouri, Fredj Jawadi, and Duc Khuong 
Nguyen
CHAPTER 11 PROFITING FROM THE DUAL-MOVING AVERAGE CROSSOVER WITH 
EXPONENTIAL SMOOTHING Camillo Lento
CHAPTER 12 SHAREHOLDER DEMANDS AND THE DELAWARE DERIVATIVE ACTION Edward 
Pekarek
PART III EXCHANGE-TRADED FUND STRATEGIES
CHAPTER 13 LEVERAGED EXCHANGE-TRADED FUNDS AND THEIR TRADING STRATEGIES 
Narat Charupat
CHAPTER 14 ON THE IMPACT OF EXCHANGE-TRADED FUNDS OVER NOISE TRADING: 
EVIDENCE FROM EUROPEAN STOCK EXCHANGES Vasileios Kallinterakis and 
Sarvinjit Kaur
CHAPTER 15 PENETRATING FIXED-INCOME EXCHANGE-TRADED FUNDS Gerasimos G. 
Rompotis
CHAPTER 16 SMOOTH TRANSITION AUTOREGRESSIVE MODELS FOR THE DAY-OF-THE-WEEK 
EFFECT: AN APPLICATION TO THE S&P 500 INDEX Eleftherios Giovanis
PART IV FOREIGN EXCHANGE MARKETS, ALGORITHMIC TRADING, AND RISK
CHAPTER 17 DISPARITY OF USD INTERBANK INTEREST RATES IN HONG KONG AND 
SINGAPORE: IS THERE ANY ARBITRAGE OPPORTUNITY? Michael C. S. Wong and 
Wilson F. Chan
CHAPTER 18 FOREX TRADING OPPORTUNITIES THROUGH PRICES UNDER CLIMATE CHANGE 
 Jack Penm and R. D. Terrell
CHAPTER 19 THE IMPACT OF ALGORITHMIC TRADING MODELS ON THE STOCK MARKET 
Ohannes G. Paskelian
CHAPTER 20 TRADING IN RISK DIMENSIONS Lester Ingber
CHAPTER 21 DEVELOPMENT OF A RISK-MONITORING TOOL DEDICATED TO COMMODITY 
TRADING Emmanuel Fragnière, Helen O'Gorman, and Laura Whitney
PART V TRADING VOLUME AND BEHAVIOR
CHAPTER 22 SECURITIES TRADING, ASYMMETRIC INFORMATION, AND MARKET 
TRANSPARENCY Mark D. Flood, Kees G. Koedijk, Mathijs A. van Dijk, and 
Irma W. van Leeuwen
CHAPTER 23 ARBITRAGE RISK AND THE HIGH-VOLUME RETURN PREMIUM G. Geoffrey 
Booth and Umit G. Gurun
CHAPTER 24 THE IMPACT OF HARD VERSUS SOFT INFORMATION ON TRADING VOLUME: 
EVIDENCE FROM MANAGEMENT EARNINGS FORECASTS Paul Brockman and James 
Cicon
CHAPTER 25 MODELING BUBBLES AND ANTI-BUBBLES IN BEAR MARKETS: A 
MEDIUM-TERM TRADING ANALYSIS Dean Fantazzini
CHAPTER 26 STRATEGIC FINANCIAL INTERMEDIARIES WITH BROKERAGE ACTIVITIES 
Laurent Germain, Fabrice Rousseau, and Anne Vanhems
CHAPTER 27 FINANCIAL MARKETS, INVESTMENT ANALYSIS, AND TRADING IN PRIMARY 
AND SECONDARY MARKETS André F. Gygax
CHAPTER 28 TRADING AND OVERCONFIDENCE Ryan Garvey and Fei Wu
CHAPTER 29 CORRELATED ASSET TRADING AND DISCLOSURE OF PRIVATE INFORMATION 
Ariadna Dumitrescu
INDEX

Excerpt

<h2>CHAPTER 1</h2><p><b>PERFORMANCE LEAKAGE AND VALUE DISCOUNTS ON THE TORONTO STOCK EXCHANGE</b></p><p>Lawrence Kryzanowski and Skander Lazrak</p><br><p><b>ABSTRACT</b></p><p>Various measures of liquidity are estimated for common and preferred shares(individual firms and exchange-traded funds), units (trusts and limitedpartnerships), notes (index linked and principal protected), and warrants listedon the Toronto Stock Exchange. We document significant differences in potentialand actual trade execution costs intra- and inter-security type and across timethat impact on the net benefits of trading for different levels of tradingpatience, the valuation discounts of non-granular portfolios under various moreor less patient exit strategies, and the likely performance drag frominvestments in different security types or the average security in that securitytype. We also provide an illustration of how trade execution costs are affectedadversely by worries of a global recession.</p><br><p><b>INTRODUCTION</b></p><p>Since the performance of all investment decisions are directly affected by thequality of effecting such decisions in the marketplace and varies within andacross security types, all investors must carefully balance the marginalbenefits and costs of each transaction. Such costs include commissions, fees,execution, and opportunity costs. Execution quality reflects various tradingdemands for immediate liquidity (speed) based on different investment styles andon the availability and cost of such liquidity at each point in time. The latterincludes the expected and actual impact of investor trade on market prices andon the cost and likelihood of concluding the remainder of a trade. Sinceexecution quality is most often unobservable, it is imputed from the data eitheras the difference between the actual trade execution price and the price thatwould have existed in the absence of the trade or as the difference (referred toas performance leakage) between the quoted or actual trade price and itscounterpart in the absence of trade costs (referred to as the "fair" price). Thetime to complete a trade for a fixed concession from the "fair" price is anotherdimension of execution quality, which can not be measured using most availabledatabases (such as the one used herein) that do not provide information on ordersubmissions and their subsequent fill history. Execution quality also affectsthe pricing of securities through its impact on...

Details zur Ausgabe

• Verlag: McGraw Hill
• Erscheinungsdatum: 2010
• Sprache: Englisch
• ISBN 10: 0071743537
• ISBN 13: 9780071743532
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 497
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: gpsr@libri.de; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Deutschland