Mathematical techniques in financial market trading /

Mathematical techniques in financial market trading /

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Bibliographic Details
Author / Creator:	Mak, Don K.
Imprint:	Hackensack, N.J. : World Scientific, ©2006.
Description:	1 online resource (xvi, 304 pages) : illustrations
Language:	English
Subject:	Investments -- Mathematics. Finance -- Mathematical models. Speculation -- Mathematical models. Finance -- Mathematical models. Investments -- Mathematics. Speculation -- Mathematical models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11213066

Hidden Bibliographic Details
ISBN:	9789812774064 9812774068 1281379107 9781281379108 9812566996 9789812566997 9786611379100 661137910X
Notes:	Includes bibliographical references (pages 297-300) and index. English. Print version record.
Summary:	The present book contains much more materials than the author's previous book "The Science of Financial Market Trading". Spectrum analysis is again emphasized for the characterization of technical indicators employed by traders and investors. New indicators are created. Mathematical analysis is applied to evaluate the trading methodologies practiced by traders to execute a trade transaction. In addition, probability theory is employed to appraise the utility of money management techniques. The book: identifies the faultiness of some of the indicators used by traders and accentuates the potential of wavelets as a trading tool; describes the scientific evidences that the market is non-random, and that the non-randomness can vary with respect to time; demonstrates the validity of the claim by some traders that, with good money management techniques, the market is still profitable even if it were random; and analyzes why a popular trading tactic has a good probability of success and how it can be improved.
Other form:	Print version: Mak, Don K. Mathematical techniques in financial market trading. Hackensack, N.J. : World Scientific, ©2006

Table of Contents:

Cover
Contents
Preface
1. Introduction
2. Scientific Review of the Financial Market
2.1 Econophysics
2.1.1 Log-Normal Distribution of Stock Market Data
2.1.2 Levy Distribution
2.1.3 Tsallis Entropy
2.2 Non-Randomness of the Market
2.2.1 Random Walk Hypothesis and Efficient Market Hypothesis
2.2.2 Variance-Ratio Test
2.2.3 Long-Range Dependence?
2.2.4 Varying Non-Randomness
2.3 Financial Market Crash
2.3.1 Log-Periodicity Phenomenological Model
2.3.2 Omori Law
3. Causal Low Pass Filters
3.1 Ideal Causal Trending Indicator
3.2 Exponential Moving Average
3.3 Butterworth Filters
3.4 Sinc Function n = 213;
3.5 Sinc Function n = 413;
3.6 Adaptive Exponential Moving Average
4. Reduced Lag Filters
4.1 "Zero-lag" EMA (ZEMA)
4.2 Modified EMA (MEMA)
4.2.1 Modified EMA (MEMA) with a Skip 1 Cubic Velocity
4.2.2 Modified EMA (MEMA) with a Skip 2 Cubic Velocity.