영문목차
Preface=xi
1. Introduction to Securities Trading and Markets
1.1. Trades, Traders, Securities, and Markets=1
Trading Illustration=2
Securities and Instruments=2
1.2. Securities Trading=4
Algorithmic Trading : A Brief Introduction=5
1.3. Bargaining=6
1.4. Auctions=7
Auction Outcomes=9
Common Value Auctions=10
Google's Dutch Auction Format=11
1.5. Introduction to Market Microstructure=11
Market Execution Structures=12
1.6. Orders, Liquidity, and Depth=13
1.7. Day Trading=15
Online Brokers and Direct Access Trading=16
Trading Platforms=17
Quotations and Price Data=18
Trading Arcades=20
Additional Reading=21
References=21
1.8. Exercises=22
2. Financial Markets, Trading Processes, and Instruments
2.1. Exchanges and Floor Markets=25
NYSE Euronext=25
2.2. The Way It Was=27
National and Regional Exchanges=27
Early Ancestors to Modern Exchanges=27
Traditional New York Stock Exchange Structure=29
Transforming the NYSE=30
Demutualization and Governance Changes=31
Diminished Floor Trading Activity=33
Current New York Stock Exchange Equities Membership Types=33
Option Exchanges=34
2.3. Over-the-Counter Markets and Alternative Trading Systems=35
Over-the-Counter Markets=36
Alternative Trading Systems=37
2.4. The Decline of Brick and Mortar=40
Electronic versus Open Outcry=42
2.5. Crossing Networks and Upstairs Markets=43
Internalization=45
2.6. Quotation, Intermarket, and Clearing Systems=45
Clearing and Settlement=46
2.7. Brokerage Operations=48
2.8. Fixed-Income Securities and Money Markets=49
U.S. Treasury Securities and Markets=50
Agency Issues=50
Municipal Securities and Markets=52
Financial Institution Instruments=52
Corporate Bonds and Markets=53
Credit Ratings and Credit Agencies=54
Eurocurrency Instruments and Markets=56
2.9. Markets Around the World=57
2.10. Currency Exchange and Markets=58
Exchange Rates=59
Forward Exchange Rates and Contracts=60
Futures Markets=62
Currency Trading=62
Interdealer Brokers and Electronic Broking=63
Futures and Other FX Markets=63
Orders, Quotes, and Spreads=64
Additional Reading=65
References=65
2.11. Exercises=65
3. Institutional Trading
3.1. Institutions and Market Impact=67
3.2. Registered Investment Companies=68
Managed Investment Company Types=68
Managed Investment Company Fees and Structures=69
ETFs=70
3.3. Unregistered Investment Companies=71
Pension Funds=72
Bank Trusts and Private Banking=72
Private Equity=73
Hedge Funds=73
Rule 144A Markets=73
3.4. Best Execution, Execution Costs, and Price Improvement=74
Spreads=74
Illustration : Slippage and the Perfect Foresight Half Spread=76
3.5. Algorithmic Trading=77
Algo Strategies=79
Illustration : Slicing the Large Transaction=80
3.6. Dark Pools=81
3.7. Stealth And Sunshine Trading=82
3.8. High-Frequency Trading=84
Latency Arbitrage=85
HFT Strategies=86
3.9. Flash Trading And Sponsored Access=87
Illustration : A Flash Trade=88
Sponsored Access=88
Additional Reading=89
References=89
3.10. Exercises=90
4. Regulation of Trading and Securities Markets
4.1. Background and Early Regulation=93
Regulatory Approaches=94
Pre-1930s Securities Regulation : The Background=94
4.2. U.S. Securities Market Legislation : The Foundation=96
The Bedrock : The Securities Act of 1933 and the Securities Exchange Act of 1934=96
Additional Major Depression-Era Legislation=97
4.3. Crises and Updating the Regulatory System=99
The 1960s Go-Go Years and Reform=99
Updating Commodities Trading Regulation and the National Market System=100
Insider Trading Regulation=100
4.4. Deregulation, Corporate Scandals, and the Financial Crisis of 2008=101
Deregulation=101
Sarbanes-Oxley=102
Post-SOX=103
The 2008 Financial Crisis=104
4.5. Dodd-Frank=104
4.6. Government Oversight of Self-Regulation : The Securities and Exchange Commission and Commodity Futures Trading Commission=105
The Securities and Exchange Commission=106
The Commodity Futures Trading Commission=107
4.7. Impact of Regulatory Activity=108
4.8. Regulation : The International Arena=110
Selected Country Regulatory Authorities=111
4.9. Privatization of Regulation and Exchange Rules=111
NYSE Rules=112
NYSE Circuit Breakers=113
Additional Reading=113
References=114
4.10. Exercises=115
5. Adverse Selection, Trading, and Spreads
5.1. Information and Trading=117
Adverse Selection=117
5.2. Noise Traders=118
5.3. Adverse Selection in Dealer Markets=119
Kyle : Informed Traders, Market Makers, and Noise Traders=119
5.4. Adverse Selection and the Spread=127
The Demsetz Immediacy Argument=127
Glosten and Milgrom Information Asymmetry Model=128
The Stoll Inventory Model=128
The Copeland and Galai Options Model=130
Additional Reading=131
References=131
5.5. Exercises=132
6. Random Walks, Risk, and Arbitrage
6.1. Market Efficiency and Random Walks=135
Random Walks and Submartingales=135
Brownian Motion Processes=137
Weiner Processes=138
6.2. Risk=138
Historical Volatility Indicators=139
Extreme Value Estimators=141
Implied Volatilities=142
6.3. Arbitrage=144
Pairs Trading and Stat-Arb=145
6.4. Limits to Arbitrage=146
Additional Reading=149
References=149
6.5. Exercises=150
6.A.1. Return and Risk Spreadsheet Applications=154
6.A.2. A Primer on Black-Scholes Option Pricing=156
Calls and Puts=156
The Black-Scholes Model=158
Appendix Exercises=159
Appendix Exercise Solutions=160
6.A.3. Estimating Implied Black-Scholes Variances=160
Simple Closed-Form Procedures=163
Aggregating Procedures=164
7. Arbitrage and Hedging with Fixed Income Instruments and Currencies
7.1. Arbitrage with Riskless Bonds=165
7.2. Fixed Income Hedging=167
Bond Yields and Sources of Risk=167
Fixed Income Portfolio Dedication=169
7.3. Fixed Income Portfolio Immunization=170
Bond Duration=171
Portfolio Immunization=173
Convexity=175
7.4. Term Structure, Interest Rate Contracts, and Hedging=177
The Term Structure of Interest Rates=178
Term Structure Estimation with Coupon Bonds=179
Bootstrapping the Yield Curve=179
Simultaneous Estimation of Discount Functions=182
7.5. Arbitrage with Currencies=184
Triangular Arbitrage=184
Purchase Power Parity, Arbitrage, and Hedging in FX Markets=185
7.6. Arbitrage and Hedging with Currency Forward Contracts=186
Parity and Arbitrage in FX Markets=186
7.7. Hedging Exchange Exposure=190
Additional Reading=192
References=193
7.8. Exercises=193
8. Arbitrage and Hedging with Options
8.1. Derivative Securities Markets and Hedging=197
8.2. Put-Call Parity=199
Illustration : Hedging with a Call, a Put, and a Collar=199
8.3. Options and Hedging in a Binomial Environment=200
Extending the Binomial Model to Two Periods=203
Extending the Binomial Model to n Time Periods=205
Obtaining Multiplicative Upward and Downward Movement Values=206
Binomial Model : An Illustration=207
8.4. The Greeks and Hedging in a Black-Scholes Environment=210
Black-Scholes Model Sensitivities=211
Illustration : Greeks Calculations for Calls=213
Illustration : Hedging with Delta and Gamma Neutral Portfolios=214
Put Sensitivities=215
8.5. Exchange Options=216
Illustration : FX Option Valuation=217
8.6. Hedging Exchange Exposure with Currency Options=219
Additional Reading=220
References=220
8.7. Exercises=221
8.A.1. The Binomial Model : Additional Considerations=224
A Computationally More Efficient Version of the Binomial Model=224
Obtaining Multiplicative Upward and Downward Movement Values=225
8.A.2. Deriving the Black-Scholes Model=227
9. Evaluating Trading Strategies and Performance
9.1. Evaluating Investment Portfolio Performance=231
Computing Net Asset Value and Returns=232
Net Asset Value and Returns Illustration=233
Portfolio Benchmarking=234
Portfolio Performance Benchmarking Illustration=236
9.2. Market Timing Versus Selection=237
The Quadratic Variable Approach=237
The Dummy Variable Approach=239
9.3. Trade Evaluation and Volume-Weighted Average Price=240
VWAP=241
VWAP : A Simple Illustration=242
9.4. Implementation Shortfall=243
Illustration : Implementation Shortfall=243
9.5. Value at Risk=244
Equity Portfolio VaR : Illustration=246
Additional Reading=246
References=247
9.6. Exercises=247
10. The Mind of the Investor
10.1. Rational Investor Paradigms=251
The St. Petersburg Paradox and the Expected Utility Paradigm=252
Von Neuman and Morgenstern : Axioms of Choice=253
10.2. Prospect Theory=255
Losses and Inconsistency=255
10.3. Behavioral Finance=258
The Monty Hall Judgment Error=258
Dumb, Dumber, and Dead=260
Myopia and Overreaction=261
Overconfidence, Gender, Entertainment, and Testosterone=268
Investor Moods, the Weather, and Investment Returns=270
Simplifying the Decision Process=271
Rational Investors and Diversification=271
10.4. Neurofinance : Getting Into The Investor's Head=272
10.5. The Consensus Opinion : Stupid Investors, Smart Markets?=273
The Football Pool=274
Analyst Estimates=275
Rational Investors and Price Setting=275
Herds and Swarms=276
Additional Reading=277
References=277
10.6. Exercises=280
11. Market Efficiency
11.1. Introduction to Market Efficiency=285
11.2. Weak Form Efficiency=286
Price Sequences, Momentum and Mean Reversion=286
Relative Strength=288
Filter Rules and Market Overreaction=288
Moving Averages=289
The January Effect=290
The Small Firm and Price/Earnings Effects=292
The Initial Public Offering Anomaly=292
Sports Betting Markets=293
Summary=293
11.3. Testing Momentum and Mean Reversion Strategies=294
11.4. Semistrong Form Efficiency=296
Early Tests=297
Stock Splits=298
Corporate Merger Announcements, Annual Reports, and Other Financial Statements=299
Information Contained in Publications and Analyst Reports=299
Discounted Cash Flow Analysis and Price Multiples=301
Political Intelligence Units=301
Market Volatility=302
11.5. The Event Study Methodology=302
Illustration : Event Studies and Takeovers=304
11.6. Strong Form Efficiency and Insider Trading=312
11.7. Anomalous Efficiency and Prediction Markets=313
The Challenger Space Shuttle Disaster=313
Prediction Markets=314
11.8. Epilogue=316
Additional Reading=317
References=317
11.9. Exercises=320
12. Trading Gone Awry
12.1. Illegal Insider Trading=325
Notorious Insider Trading Cases=326
Monitoring Insider Trading Activity=330
12.2. Front Running and Late Trading=330
Front Running and Parasitic Trading=330
Market Timing and Late Trading=331
12.3. Bluffing, Spoofing, and Market Manipulation=332
Bluffing=332
Spoofing=333
Buy, Lie, and Sell High=334
Banging the Close=334
Corners and Pools=335
Wash Sales=337
Fishing=337
Other Quote Abuses=338
12.4. Payment for Order Flow=339
12.5. Fat Fingers, Hot Potatoes, and Technical Glitches=340
The Flash Crash=340
Hot Potato Volume=341
A Textbook for $23,698,655.93(Plus $3.99 Shipping)=341
12.6. Rogue Trading and Rogue Traders=342
Rogue Traders=343
12.7. Trading and Ponzi Schemes=346
Carlo Ponzi=347
Other Ponzi Schemes=347
Additional Reading=348
References=348
12.8. Exercises=349
Mathematics Appendix=351
Glossary=369
End-of-Chapter Exercise Solutions=381
Index=425