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1. Technical analysis of stock trends [2013]
 Edwards, Robert D. (Robert Davis), 1893
 10th ed.  Boca Raton : Taylor & Francis, c2013.
 Description
 Book — xlvi, 578 p. : ill. ; 27 cm.
 Summary

 TECHNICAL THEORY The Technical Approach to Trading and Investing Charts The Dow Theory The Dow Theory in Practice The Dow Theory's Defects The Dow Theory in the 20th and 21st Centuries Important Reversal Patterns Important Reversal PatternsContinued Important Reversal PatternsThe Triangles Important Reversal PatternsContinued Other Reversal Phenomena ShortTerm Phenomena of Potential Importance Consolidation Formations Gaps Support and Resistance Trendlines and Channels Major Trendlines Trading the Averages in the 21st Century Technical Analysis of Commodity Charts Technical Analysis of Commodity Charts,
 Part 2 A Summary and Some Concluding Comments Technical Analysis and Technology in the 21st Century: The Computer
 and the Internet, Tools of the Investment/ Information Revolution Advancements in Investment Technology TRADING TACTICS MIDWORD The Tactical Problem Strategy and Tactics for the LongTerm Investor The AllImportant Details The Kind of Stocks We WantThe Speculator's Viewpoint The Kind of Stocks We WantThe LongTerm Investor's Viewpoint Selection of Stocks to Chart Selection of Stocks to ChartContinued Choosing and Managing HighRisk Stocks: Tulip Stocks, Internet
 Sector, and Speculative Frenzies The Probable Moves of Your Stocks Two Touchy Questions Round Lots or Odd Lots? Stop Orders What Is a BottomWhat's Is a Top? Trendlines in Action Use of Support and Resistance Not All in One Basket Measuring Implications in Technical Chart Patterns Tactical Review of Chart Action A Quick Summation of Tactical Methods Effect of Technical Trading on Market Action Automated Trendline: The Moving Average "The Same Old Patterns" Balanced and Diversified Trial and Error How Much Capital to Use in Trading Application of Capital in Practice Portfolio Risk Management Stick to Your Guns APPENDICES GLOSSARY BIBLIOGRAPHY INDEX.
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HG4521 .E38 2013  Unknown 
 Hoboken, N.J. : Wiley, 2012.
 Description
 Book — xv, 238 p. : ill ; 24 cm.
 Summary

 Introduction About the Editors PART I ECONOMIC MICROSTRUCTURE THEORY
 1 Algorithmic Trading: Issues and Preliminary Evidence Thierry Foucault 1.1 Introduction 1.2 What is algorithmic trading? 1.2.1 Definition and typology 1.2.2 Scope and profitability 1.3 Market structure and algorithmic trading 1.4 Costs and benefits of algorithmic trading 1.4.1 Algorithmic trading reduces search costs 1.4.2 Algorithmic trading has an ambiguous effect on adverse selection costs 1.4.3 Algorithmic trading and price discovery 1.4.4 Welfare effects 1.4.5 Algorithmic trading as a source of risk 1.5 Empirical evidence 1.5.1 Algorithmic trading and market liquidity 1.5.2 Algorithmic trading and volatility 1.5.3 Algorithmic trading and price discovery 1.5.4 Algorithmic trading and market stability 1.6 Conclusions Appendix Acknowledgment References
 2 Order Choice and Information in Limit Order Markets
 41 Ioanid Ro u 2.1 Introduction 2.2 Order choice with symmetric information 2.3 Order choice with asymmetric information 2.4 The information content of orders 2.5 Questions for future research References PART II HIGH FREQUENCY DATA MODELING
 3 Some Recent Results on High Frequency Correlation Nicolas Huth and Fr ed eric Abergel 3.1 Introduction 3.2 Data description 3.3 Multivariate event time 3.3.1 Univariate case 3.3.2 Multivariate case 3.3.3 Empirical results 3.4 High frequency lead/lag 3.4.1 The HayashiYoshida crosscorrelation function 3.4.2 Empirical results 3.5 Intraday seasonality of correlation 3.5.1 Empirical results 3.6 Conclusion Acknowledgment References
 4 Statistical Inference for Volatility and Related Limit Theorems Nakahiro Yoshida 4.1 Introduction 4.2 QLA for an ergodic diffusion process 4.3 QLA for volatility in the finite timehorizon 4.4 Nonsynchronous covariance estimation 4.4.1 Consistent estimator 4.4.2 Functional limit theorem 4.4.3 Application of YUIMA 4.4.4 Leadlag estimation 4.5 YUIMA II for statistical analysis and simulation for stochastic differential equations 4.6 Higher order asymptotics and finance 4.6.1 Martingale expansion 4.6.2 Small sigma expansion Acknowledgments References PART III MARKET IMPACT
 5 Models for the Impact of All Order Book Events Zolt an Eisler, JeanPhilippe Bouchaud, and Julien Kockelkoren 5.1 Introduction 5.2 A short summary of market order impact models 5.3 Manyevent impact models 5.3.1 Notation and definitions 5.3.2 The transient impact model (TIM) 5.3.3 The history dependent impact model (HDIM) 5.4 Model calibration and empirical tests 5.4.1 Data 5.4.2 The case of large ticks 5.4.3 The case of small ticks 5.5 Conclusion Appendix Acknowledgments References
 6 Limit Order Flow, Market Impact, and Optimal Order Sizes: Evidence from NASDAQ TotalViewITCH Data Nikolaus Hautsch and Ruihong Huang 6.1 Introduction 6.2 Market environment and data 6.3 Major order flow and order book characteristics 6.4 An econometric model for the market impact of limit orders 6.4.1 A cointegrated VAR model for the limit order book 6.4.2 Estimating market impact 6.5 Market impact at NASDAQ 6.6 Optimal order size 6.7 Conclusions Acknowledgment References PART IV OPTIMAL TRADING Introduction: Trading and Market Microstructure CharlesAlbert Lehalle References
 7 Collective Portfolio Optimization in Brokerage Data: The Role of Transaction Cost Structure Damien Challet and David Morton de Lachapelle 7.1 Introduction 7.2 Description of the data 7.3 Results 7.4 The influence of transaction costs on trading behaviour from optimal meanvariance portfolios 7.5 Discussion and outlook Acknowledgments References
 8 Optimal Execution of Portfolio Transactions with ShortTerm Alpha Adriana M. Criscuolo and Henri Waelbroeck 8.1 Introduction 8.2 Shortterm alpha decay and hidden order arbitrage theory 8.3 Total cost definition and constraints 8.3.1 Equations without the risk term 8.3.2 Equations including risk without the alpha term 8.4 Total cost optimization 8.4.1 Results for lambda =
 0 and the arbitrary alpha term 8.4.2 Riskadjusted optimization 8.5 Conclusions 8.5.1 Main results in the absence of shortterm alpha 8.5.2 Main results with shortterm alpha 8.5.3 Institutional trading practices Proviso References Combined References Index.
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HG4521 .M319 2012  Unknown 
3. Fourier transform methods in finance [2010]
 Chichester, West Sussex, U.K. : John Wiley & Sons, c2010.
 Description
 Book — xii, 242 p. : ill. ; 26 cm.
 Summary

 Preface. List of Symbols.
 1 Fourier Pricing Methods. 1.1 Introduction. 1.2 A general representation of option prices. 1.3 The dynamics of asset prices. 1.4 A generalized function approach to Fourier pricing. 1.5 Hilbert transform. 1.6 Pricing via FFT. 1.7 Related literature.
 2 The Dynamics of Asset Prices. 2.1 Introduction. 2.2 Efficient markets and Levy processes. 2.3 Construction of Levy markets. 2.4 Properties of Levy processes.
 3 Nonstationary Market Dynamics. 3.1 Nonstationary processes. 3.2 Time changes. 3.3 Simulation of Levy processes.
 4 ArbitrageFree Pricing. 4.1 Introduction. 4.2 Equilibrium and arbitrage. 4.3 Arbitragefree pricing. 4.4 Derivatives. 4.5 Levy martingale processes. 4.6 Levy markets.
 5 Generalized Functions. 5.1 Introduction. 5.2 The vector space of test functions. 5.3 Distributions. 5.4 The calculus of distributions. 5.5 Slow growth distributions. 5.6 Function convolution. 5.7 Distributional convolution. 5.8 The convolution of distributions in S.
 6 The Fourier Transform. 6.1 Introduction. 6.2 The Fourier transformation of functions. 6.3 Fourier transform and option pricing. 6.4 Fourier transform for generalized functions. 6.5 Exercises. 6.6 Fourier option pricing with generalized functions.
 7 Fourier Transforms at Work. 7.1 Introduction. 7.2 The BlackScholes model. 7.3 Finite activity models. 7.4 Infinite activity models. 7.5 Stochastic volatility. 7.6 FFT at work. Appendices. A Elements of probability. A.1 Elements of measure theory. A.2 Elements of the theory of stochastic processes. B Elements of Complex Analysis. B.1 Complex numbers. B.2 Functions of complex variables. C Complex Integration. C.1 Definitions. C.2 The CauchyGoursat theorem. C.3 Consequences of Cauchy's theorem. C.4 Principal value. C.5 Laurent series. C.6 Complex residue. C.7 Residue theorem. C.8 Jordan's Lemma. D Vector Spaces and Function Spaces. D.1 Definitions. D.2 Inner product space. D.3 Topological vector spaces. D.4 Functionals and dual space. E The Fast Fourier Transform. E.1 Discrete Fourier transform. E.2 Fast Fourier transform. F The Fractional Fourier Transform. F.1 Circular matrix. F.2 Toepliz matrix. F.3 Some numerical results. G Affine Models: The Path Integral Approach. G.1 The problem. G.2 Solution of the Riccati equations. Bibliogrsphy. Index.
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HG6024 .A3 F684 2010  Unknown 
 Fries, Christian, 1970
 Hoboken, N.J. : WileyInterscience, c2007.
 Description
 Book — xxii, 520 p. : ill. ; 25 cm.
 Summary

This is a balanced introduction to the theoretical foundations and realworld applications of mathematical finance. The evergrowing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening lifecycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. "Mathematical Finance" is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this selfcontained text applies theoretical concepts to realworld examples and introduces stateoftheart, objectoriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful motivation and interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. Indepth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, "Mathematical Finance" emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.
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HG6024 .A3 F75 2007  Unknown 
5. A structural framework for the pricing of corporate securities : economic and empirical issues [2006]
 Genser, Michael.
 Berlin ; New York : Springer, c2006.
 Description
 Book — xix, 186 p. : ill. ; 24 cm.
 Summary

 Introduction. The Corporate Securities Framework. ABM and GBMEBITModels. Numerical Illustration of the ABM and GBMModel. Empirical Test of the EBITBased Credit Risk Model. Concluding Remarks. Notes on the Equity Option Valuation.
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HG4636 .G46 2006  Unknown 
6. Mathematics of financial markets [2005]
 Elliott, Robert J. (Robert James), 1940
 2nd ed.  New York : Springer, c2005.
 Description
 Book — xi, 352 p. : ill. ; 25 cm.
 Summary

 Pricing by Arbitrage. Martingale Measures. The First Fundamental Theorem. Complete Markets. Stopping Times and American Options. ContinousTime Stochastic Calculus. European Options in Continuous Time. The American Put Option . Bonds and Term Structure. ConsumptionInvestment Strategies. Measures of Risk.
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HG4515.3 .E37 2005  Unknown 
7. The econometrics of sequential trade models : theory and applications using high frequency data [2004]
 Kokot, Stefan, 1970
 Berlin ; New York : SpringerVerlag, 2004.
 Description
 Book — 188 p.
 Summary

 Introduction. Trading Mechanisms on Financial Markets: Typology of Security Markets Market Participants and Institutional Setup on the NYSE. Sequential Trade Models: Market Microstructure Theory. Microstructure Models of the Black Box. The Basic Sequential Trade Model. Extensions. Estimation of Structural Models. Results of Previous Studies. Econometric Analysis: The EKOP Model and Finite Mixture Models. Model Evaluation and Specification Testing. Mixture and Regime Switching Models in Econometrics. Empirical Results: The TAQ Database. The Trade Direction. Descriptive Statistics. Estimation Results. Conclusions. Appendix. References. List of Figures. List of Tables.
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HG106 .K65 2004  Unknown 
8. Computational financial mathematics using Mathematica : optimal trading in stocks and options [2003]
 Stojanovic, Srdjan.
 Boston, MA : Birkhäuser : Electronic Library of Science, c2003.
 Description
 Book — xi, 481 p. : ill. ; 24 cm. + 1 CDROM (4 3/4 in.)
 Summary

 Preface * Cash Account Evolution * Stock Price Evolution * European Style Stock Options * Stock Market Statistics * Implied Volatility for European Options * American Style Stock Options * Optimal Portfolio Rules * Advanced Trading Strategies * Bibliography * Index.
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HG106 .S76 2003  Unknown 
9. Mathematics of financial markets [1998]
 Elliott, Robert James.
 New York : Springer, c1999.
 Description
 Book — 292 p. ; 24 cm.
 Summary

 Pricing by Arbitrage Martingale Measures The Fundamental Theorem of Asset Pricing Complete Markets and Martingale Representation Stopping Times and American Options A Review of ContinousTime Stochastic Calculus European Options in Continous Time The American Option Bonds and Term Structure ConsumptionInvestment Strategies References Index.
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HG4515.3 .E37 1999  Unknown 