Long Short Market Dynamics

Author : Clive M. Corcoran
Publisher : John Wiley & Sons
Page : 358 pages
File Size : 53,8 Mb
Release : 2007-02-06
Category : Business & Economics
ISBN : 9780470065310

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Long/Short Market Dynamics by Clive M. Corcoran Pdf

Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective. The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes: A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities. Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism. Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics

Author : Mrs.Anne Jansen,Mr.Bankim Chadha,Ms.Laura E. Kodres,Mr.Donald J. Mathieson,Mr.Sunil Sharma,Mr.Barry J. Eichengreen
Publisher : International Monetary Fund
Page : 92 pages
File Size : 45,8 Mb
Release : 1998-05-15
Category : Business & Economics
ISBN : 1557757364

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Hedge Funds and Financial Market Dynamics by Mrs.Anne Jansen,Mr.Bankim Chadha,Ms.Laura E. Kodres,Mr.Donald J. Mathieson,Mr.Sunil Sharma,Mr.Barry J. Eichengreen Pdf

Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.

Author : Markos Katsanos
Publisher : Wiley
Page : 430 pages
File Size : 51,9 Mb
Release : 2009-01-15
Category : Business & Economics
ISBN : 9780470741467

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Intermarket Trading Strategies by Markos Katsanos Pdf

This book shows traders how to use Intermarket Analysis to forecast future equity, index and commodity price movements. It introduces custom indicators and Intermarket based systems using basic mathematical and statistical principles to help traders develop and design Intermarket trading systems appropriate for long term, intermediate, short term and day trading. The metastock code for all systems is included and the testing method is described thoroughly. All systems are back tested using at least 200 bars of historical data and compared using various profitability and drawdown metrics.

Author : Thorsten Hens,Klaus Reiner Schenk-Hoppe
Publisher : Elsevier
Page : 608 pages
File Size : 51,9 Mb
Release : 2009-06-12
Category : Business & Economics
ISBN : 0080921434

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Handbook of Financial Markets: Dynamics and Evolution by Thorsten Hens,Klaus Reiner Schenk-Hoppe Pdf

The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. * Explains the market dynamics of asset prices, offering insights about asset management approaches * Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 45,7 Mb
Release : 2000
Category : Hedge funds
ISBN : OCLC:253928912

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Market-neutral Investing by Anonim Pdf

Author : Michael Gayed,Michael E. S. Gayed
Publisher : Createspace Independent Publishing Platform
Page : 0 pages
File Size : 40,7 Mb
Release : 1990-10-15
Category : Business enterprises
ISBN : 1481959611

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Intermarket Analysis and Investing by Michael Gayed,Michael E. S. Gayed Pdf

This eye-opening book brings together today's most relied upon tools of market analysis. Michael E.S. Gayed clearly explains how this powerful combination of major schools of thought of market analysis can help investors dramatically improve their judgment on likely market performance and spot important trends, thereby making successful investment decisions. Intermarket Analysis and Investing begins with an overview of investment analysis that examines types of risk and portfolio structuring. Then it moves on to the three prominent schools of thought in market analysis with discussions of: - Economic analysis, which is primarily concerned with the state of business, and anticipates phases of economic expansion and contraction by focusing on economic indicators - Fundamental analysis, the most widely followed and practiced form of analysis, it looks at the accounting and financial position of companies in an attempt to evaluate intrinsic worth and true stock value - Technical analysis or the market-timing school, practiced by "believers in the supremacy of trend analysis," and followers of the ticker tape. It is primarily concerned with the dynamics behind the fluctuation in the price of a stock This book also examines the positive aspects and pitfalls to contrarian investing, top-down and bottom-up market approaches, comparative market analysis, and common-sense trend analysis. By integrating economic, fundamental, and technical quantitative analysis into a sensible working framework, Intermarket Analysis and Investing exposes the inherent short-comings of relying too heavily or exclusively on any single approach. Each school of stock market analysis is thoroughly examined so that the reader can understand each approach and how it interacts with the others. Part II stresses the economic by analyzing the most important aspects of the business cycle, the Fed's role in managing the balance of inflation and unemployment, and factors investors should watch to tame market risk and minimize loss during downtrends. It is here that the importance of economic indicators is emphasized, with an in-depth discussion of the 11 leading indicators that monitor the economy and help the investor anticipate long-term business trends, the four coincident indicators that help verify the predictability of the leading indicators, and the lagging indicators that help spot emerging structural trends. Part III discusses the use of fundamental analysis, which compares the growth and finances of different securities and industry groups. It shows how earnings, sales, book value, P/E multiples, leverage, liquidity, and/or profitability of companies are used to reveal the worth of a security as an investment. The commodities market and the effect of globalization of securities markets are also examined. Part IV shows how quantitative market analysis aids active investors in determining the short-or immediate-term direction of stocks. Intermarket Analysis and Investing shows how to improve investment decisions by integrating the best features of fundamental analysis and some well-known market timing techniques described and illustrated in this section. The final section of the book provides insightful investment strategies that are based on the intermarket relationships previously discussed. By integrating the methods described in detail in this book, investors stand a much better chance of profiting from market opportunities and of achieving their objectives.

Author : John J. Murphy
Publisher : Penguin
Page : 576 pages
File Size : 47,7 Mb
Release : 1999-01-01
Category : Business & Economics
ISBN : 9781101659199

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Technical Analysis of the Financial Markets by John J. Murphy Pdf

John J. Murphy has now updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.

Author : Clive M. Corcoran
Publisher : John Wiley & Sons
Page : 343 pages
File Size : 52,6 Mb
Release : 2012-11-26
Category : Business & Economics
ISBN : 9781118410806

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Systemic Liquidity Risk and Bipolar Markets by Clive M. Corcoran Pdf

The dramatic and well chronicled crisis of 2007/8 marked a watershed moment for all stakeholders in global capital markets. In the aftermath, financial markets have become even more tightly coupled as correlations in returns across multiple asset classes have been at historically elevated levels. Investors and fund managers are, to a much larger degree than previously and often much more than they realize, subject to the risk of severe wealth destruction. The ultimate hazard, which is not adequately characterized by the widely touted notion of tail risk, is the systemic risk which arises when liquidity in markets completely evaporates. Not only did this happen in the second half of 2008, but it has been repeated episodically since then – most notably in May 2010, in an incident known as the Flash Crash, and in the fall of 2011 when correlations were at historically elevated levels. Conventional asset allocation tools and techniques have failed to keep apace with the changing financial landscape which has emerged since 2008. In addition to the preponderance of algorithmic trading and the associated changes in the liquidity characteristics of financial markets, a new paradigm of risk on/risk off asset allocation has emerged. Risk on/risk off is a widely adopted style of trading and macro allocation strategy where positions are taken in several closely aligned asset classes depending on the prevailing sentiment or appetite for risk. The consequences of the day to day (and intraday) switching between either a risk on or risk off tactical strategies poses significant new challenges to investors who are still making investment decisions with outmoded notions from traditional asset allocation theory. How can one cushion the impact of systemically threatening events when the ability to exit financial instruments becomes almost non existent? How can one trust the integrity of financial models and orthodox macro financial theory which have become increasingly discredited? Can central bankers be relied upon to become the counter-parties of last resort and provide a safety net under the financial system? These vital questions, and many others, need to be addressed by everyone who has a stake in modern financial markets, and they are addressed in Systemic Liquidity Risk and Bipolar Markets. Proper functioning markets require fractiousness or divided opinion, and this needs to be lubricated by communications from central bankers, economic forecasters, corporate executives and so on. As long as such messages and market conditions remain ambiguous, providing asymmetric information to different market players, then the conditions are present to enable systemic liquidity to be preserved. Seen in this context the prevailing paradigm of bipolar risk on/risk off asset allocations is both a prerequisite to liquid markets, and also paradoxically, when one side of the polarity becomes too extreme, a major source of systemic instability. Should such polarities become critically unbalanced, and should the signals received by market players become symmetrically disadvantageous as they were in the fall of 2008, then an even more substantial systemic liquidity crisis than that seen in those troubled times is a dangerous possibility. Apart from the practical risk management tools and tactics that are recommended in Systemic Liquidity Risk and Bipolar Markets, there is a provocative and cogent narrative to provide anxious and perplexed investors with a coherent explanation of the post GFC financial environment, and which should assist them in navigating the choppy waters ahead.

Author : Stéphane Goutte,Khaled Guesmi,Christian Urom
Publisher : Springer Nature
Page : 137 pages
File Size : 40,5 Mb
Release : 2022-04-27
Category : Business & Economics
ISBN : 9783030985424

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Financial Market Dynamics after COVID 19 by Stéphane Goutte,Khaled Guesmi,Christian Urom Pdf

This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.

Author : Carl Chiarella,Peter Flaschel,Gangolf Groh,Willi Semmler
Publisher : Springer Science & Business Media
Page : 487 pages
File Size : 54,5 Mb
Release : 2013-06-29
Category : Business & Economics
ISBN : 9783662040706

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Disequilibrium, Growth and Labor Market Dynamics by Carl Chiarella,Peter Flaschel,Gangolf Groh,Willi Semmler Pdf

In this book on disequilibrium, growth and labor market dynamics we take predominantly a macroeconomic perspective. We present a working model that can easily be varied in different directions in order to subsume innovations in the literature on macroeconomics, old and new, and to contribute to important currently discussed macroeconomic issues. Our working model is set up in a way that there is a close relationship between our presented dynamic models and modern macro econometric models with disequilibrium both in the labor and the goods markets. One of our objectives is, therefore, to narrow the gap between theoretical and applied structural macrodynamic model building. We hope that the book will be a useful reference for all researchers, academic teachers and practitioners of macroeconomic and macro econometric model building who are interested in economic dynamics, independently of whether they use equilibrium or disequilibrium methods in their own research. We base this hope on the fact that our approach contains a number of unique features. The emphasis on the identification and analysis of the basic feedback mechanisms at work in modern macro economies. A detailed study of the partial as well as integrated dynamic interaction between these feedback mechanisms that consti tute the interdependence of markets and sectors of the modern macro economy. The rela tionship between the macroeconomic framework of our working model and the Walrasian, Non-Walrasian and New-Keynesian reformulations of macroeconomics.

Author : Andrew W. Lo,Ruixun Zhang
Publisher : Oxford University Press
Page : 801 pages
File Size : 51,7 Mb
Release : 2024-02-22
Category : Business & Economics
ISBN : 9780192885692

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The Adaptive Markets Hypothesis by Andrew W. Lo,Ruixun Zhang Pdf

The Adaptive Markets Hypothesis (AMH) presents a formal and systematic exposition of a new narrative about financial markets that reconciles rational investor behaviour with periods of temporary financial insanity. In this narrative, intelligent but fallible investors learn from and adapt to randomly shifting environments. Financial markets may not always be efficient, but they are highly competitive, innovative, and adaptive, varying in their degree of efficiency as investor populations and the financial landscape change over time. Andrew Lo and Ruixun Zhang develop the mathematical foundations of the AMH—a simple yet surprisingly powerful set of evolutionary models of behaviour—and then apply these foundations to show how the most fundamental economic behaviours that we take for granted can arise solely through natural selection. Drawing on recent advances in cognitive neuroscience and artificial intelligence, the book also explores how our brain affects economic and financial decision making. The AMH can be applied in many contexts, ranging from designing trading strategies, to managing risk and understanding financial crises, to formulating macroprudential policies to promote financial stability. This volume is a must read for anyone who has ever been puzzled and concerned by the behaviour of financial markets and the implications for their personal wealth, and seeks to learn how best to respond to such behaviour.

Author : Stan Weinstein
Publisher : McGraw-Hill Education
Page : 364 pages
File Size : 51,7 Mb
Release : 1988
Category : Business & Economics
ISBN : 1556236832

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Stan Weinstein's Secrets For Profiting in Bull and Bear Markets by Stan Weinstein Pdf

Stan Weinstein's Secrets For Profiting in Bull and Bear Markets reveals his successful methods for timing investments to produce consistently profitable results. Topics include: Stan Weinstein's personal philosophy on investing The ideal time to buy Refining the buying process Knowing when to sell Selling Short Using the best long-term indicators to spot Bull and Bear markets Odds, ends, and profits

Author : Laurent Bernut,Michael Covel
Publisher : Packt Publishing Ltd
Page : 377 pages
File Size : 43,5 Mb
Release : 2021-09-30
Category : Business & Economics
ISBN : 9781801810395

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Algorithmic Short Selling with Python by Laurent Bernut,Michael Covel Pdf

Leverage Python source code to revolutionize your short selling strategy and to consistently make profits in bull, bear, and sideways markets Key Features Understand techniques such as trend following, mean reversion, position sizing, and risk management in a short-selling context Implement Python source code to explore and develop your own investment strategy Test your trading strategies to limit risk and increase profits Book Description If you are in the long/short business, learning how to sell short is not a choice. Short selling is the key to raising assets under management. This book will help you demystify and hone the short selling craft, providing Python source code to construct a robust long/short portfolio. It discusses fundamental and advanced trading concepts from the perspective of a veteran short seller. This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short hedge fund algorithmic traders. You'll explore key concepts such as trading psychology, trading edge, regime definition, signal processing, position sizing, risk management, and asset allocation, one obstacle at a time. Along the way, you'll will discover simple methods to consistently generate investment ideas, and consider variables that impact returns, volatility, and overall attractiveness of returns. By the end of this book, you'll not only become familiar with some of the most sophisticated concepts in capital markets, but also have Python source code to construct a long/short product that investors are bound to find attractive. What you will learn Develop the mindset required to win the infinite, complex, random game called the stock market Demystify short selling in order to generate alpa in bull, bear, and sideways markets Generate ideas consistently on both sides of the portfolio Implement Python source code to engineer a statistically robust trading edge Develop superior risk management habits Build a long/short product that investors will find appealing Who this book is for This is a book by a practitioner for practitioners. It is designed to benefit a wide range of people, including long/short market participants, quantitative participants, proprietary traders, commodity trading advisors, retail investors (pro retailers, students, and retail quants), and long-only investors. At least 2 years of active trading experience, intermediate-level experience of the Python programming language, and basic mathematical literacy (basic statistics and algebra) are expected.

Author : Merritt B. Fox,Lawrence Glosten,Gabriel Rauterberg
Publisher : Columbia University Press
Page : 612 pages
File Size : 49,8 Mb
Release : 2019-01-08
Category : Business & Economics
ISBN : 9780231543934

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The New Stock Market by Merritt B. Fox,Lawrence Glosten,Gabriel Rauterberg Pdf

The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.

Author : Andrew W. Lo
Publisher : Princeton University Press
Page : 504 pages
File Size : 47,5 Mb
Release : 2019-05-14
Category : Business & Economics
ISBN : 9780691196800

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Adaptive Markets by Andrew W. Lo Pdf

A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.