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Mastering the Art of Equity Trading Through Simulation, + Web-Based Software: The TraderEx Course / Edition 1

Mastering the Art of Equity Trading Through Simulation, + Web-Based Software: The TraderEx Course / Edition 1

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Product Details

ISBN-13: 9780470464854
Publisher: Wiley
Publication date: 07/06/2010
Series: Wiley Trading Series , #428
Pages: 288
Product dimensions: 7.40(w) x 9.20(h) x 0.70(d)

About the Author

Robert A. Schwartz is Marvin M. Speiser Professor of Financeand University Distinguished Professor in the Zicklin School ofBusiness, Baruch College, CUNY. He is the developer, with BruceWeber and Gregory Sipress, of the trading and market structuresimulation, TraderEx.

Gregory M. Sipress is the head of software development atTraderEx, LLC.

Bruce W. Weber is a Professor of Information Managementat the London Business School.

Table of Contents

Foreword (Professor Dr. Reto Francioni).


How TraderEx Works.

Who This Book is For.

Overview of the Book.

Downloading the TraderEx Software.

How TraderEx Works with Micro Markets.


Part One: An Overview of Equity Market Trading.

Chapter 1: Equity Market Trading.

The Costs of Trading.


Market Structure.

Informational Efficiency (or the Lack Thereof).


The Players.


Chapter 2: Simulation as a Learning Tool.

Canned versus Computer Generated Prices and Quotes.

Appendix: Intertemporal Returns Correlation.


Chapter 3: How to Use TraderEx.

An Overview of the TraderEx Environment.

The Continuous Order Book Market.

The Dealer Market.

Call Auctions.

Block Trading Facility.

Crossing Network.

Hybrid Markets.


Chapter 4: Introduction to the Trading Exercises.

The Buy-Side Perspective.

The Sell-Side Intermediary Perspective.

TraderEx Performance Measures.


Part Two: TraderEx Exercises.

Chapter 5: Microeconomics Goes to Market.

Exercise 5.1: The Look of a Financial Market.

Exercise 5.2: What Are Your Attitudes Toward Risk?

Exercise 5.3: Call Market Trading.

Exercise 5.4: Trading Costs in Action.

Exercise 5.5: Dealer Costs and Inventory Control.

Exercise 5.6: Inter-Market Competition for a Stock Exchange.

Exercise 5.7: Finding an Equilibrium Value.

Exercise 5.8: Economic Effects of an Order Protection Rule.


Chapter 6: The Order Book Market Structure.

Exercise 6.1: Entering Limit Orders.

Exercise 6.2: Entering Market Orders.

Exercise 6.3: Adjusting Limit Orders.

Exercise 6.4: Sizing your Orders – Markets and Limits.

Exercise 6.5: Post-Trade Analysis.

Exercise 6.6: A Really Big Order.

Exercise 6.8: Illiquidity.

Exercise 6.9: Heightened Volatility.

Exercise 6.10: News and Changing Expectations.

Exercise 6.11: Endogenous Expectations.

Exercise 6.12: A One-Year Holding Period.

Exercise 6.13: Crossing Networks.

Exercise 6.14: A Networked Simulation.


Chapter 7: The Call Auction Market Structure.

The Price Setting Mechanism in TraderEx Call Auctions.

Exercise 7.1: Mechanics of the Opening Call Auction.

Exercise 7.2: Your TraderEx Call Auction Orders.

Exercise 7.3: Your Influence on TraderEx Call AuctionPrices.

Exercise 7.4: Participating in the Opening Call Auction.

Exercise 7.5: Working a Large Order with Call Auctions.

Exercise 7.6: Proprietary Trading with Call Auction, and NewsReleases.

Exercise 7.7: Emphasizing Different Dimensions of TradingPerformance.

Exercise 7.8: A Partially Disclosed Call Auction.


Chapter 8: Dealer Markets: What Do the Trading IntermediariesDo?

Operations of Quote Driven Markets.

Exercise 8.1: Changing Quotes to Control Your Inventory.

Exercise 8.2: Market Maker Performance.

Exercise 8.3: Market Maker Risk Performance.

Exercise 8.4: Preferencing in Market Maker Systems.

Exercise 8.5: Volatility and Market Making.

Exercise 8.6: Low Liquidity and Market Making.

Exercise 8.7: Alternative Trading Systems and Market Making.


Chapter 9: Dark Pools: How Undisclosed LiquidityWorks.

Exercise 9.1: Mechanics of the Dark Pool.

Exercise 9.2: Seeking Advantages from Dark Pool Pricing.

Exercise 9.3: Working a Large Order with a Dark Pool.

Exercise 9.4: Proprietary Trading with Call Auction, and NewsReleases.

Exercise 9.5: Emphasizing Different Dimensions of TradingPerformance.

Exercise 9.6: Dark Pools and Trade-Through Rules.


About the Authors.


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