Advance Information THE STRATEGIC ANALYSIS OF FINANCIAL MARKETS (In 2 Volumes) Volume 1: Framework Volume 2: Trading System Analytics

By Steven D Moffitt (Stuart School of Business, USA & Market Pattern Research, Inc., USA)

Key Features: Pub Date: May 2017 • Has new strategic concepts for and traders Binding: Hardcover • Illustrates those concepts with successful and unsuccessful trading ideas ISBN: 978-981-3142-77-0 • Shows how people’s mistakes and ignorance of market mechanisms creates trading opportunities for examples Price: £378 Description: Page Extent: 950pp Volume 1 is premised on the belief that markets can be understood only by dropping the Type: Handbook assumptions of rationality and efficient markets in their extreme forms, and showing that Main Subject: Economics & markets still have an inherent and inherent logic. But that order results primarily from Finance the “predictable irrationality” of investors, as well as from people’s uncoordinated attempts Sub-subjects: Money & Banking/ to profit. The market patterns that result do not rely on rationality or efficiency. A framework Investments/Financial Markets & is developed for understanding financial markets using a combination of psychology, Institutions; International / statistics, game and analysis, market history and the author’s experience. It Business; International Finance expresses analytically how professional investors and traders think about markets. Those strategies’ interactions can be toxic and lead to booms, bubbles, busts and crashes, or can be BIC: KFF less dramatic, leading to various patterns that are mistakenly called “market inefficiencies” BISAC: BUS036070; BUS036090 and “stylized facts.” Keywords: Investment Strategies; Trading Systems; A logical case is constructed, starting from two foundations, the psychology of human Backtesting; Game Analysis; decision making and the “Fundamental Laws of Gambling.” Applying the Fundamental Laws Professional Gambling; Inefficient to trading leads to the idea of “gambling rationality” (grationality), replacing the efficient Markets; Behavioral Finance; market’s concept of “rationality.” By classifying things that are likely to have semi-predictable Econophysics; Nonparametric price impacts (price “distorters”), one can identify, explore through data analysis, and create Statistics; Semiparametric winning trading ideas and systems. A structured way of doing all this is proposed: the six-step Regression; Statistical Learning; “Strategic Analysis of Market Method.” Examples are given in this and Volume 2. Time Series; Market Anomalies; Market Event Analysis Volume 2 continues the development of Volume 1 by introducing tools and techniques for Readership: Students, graduates developing trading systems and by illustrating them on real trading systems. The difference and researchers who are between these two Volumes and the rest of the literature is its rigor. It describes trading interested in knowing how as a form of gambling that when properly executed, is quite logical, and is well known to financial markets work professional gamblers and analytical traders. But even those elites might be surprised at the extent to which quantitative methods have been justified and applied, including a life cycle Imprint: World Scientific theory of trading systems. Publishing Company Series: World Scientific Series in Apart from a few sections that develop background material, Volume 2 creates from scratch Finance a trading system for Eurodollar futures using principles of the Strategic Analysis of Markets Method (SAMM), a principled, step-by-step approach to developing profitable trading systems. It has an entire Chapter on mechanical methods for testing and improvement of trading systems, which transcends the rather unstructured and unsatisfactory “backtesting” literature. It presents a breakout trend following system developed using factor models. It also presents a specific pairs trading system, and discusses its life cycle from an early, highly profitable period to its eventual demise. Recent developments in trading and suggests improvements are also discussed. Contents: • Volume 1: Framework: • Introduction • Financial Time Series and Potentially Profitable Gambling Systems • Statistical Regularities of Financial Time Series • Essentials of Utility Theory • Reexamining Market Efficiency • How People Make Decisions • Market “Anomalies” Due to Human Behavior and Cognition • Econophysics and Market Empirics • Games and Gambling • The Adaptive Markets Hypothesis (AMH) and Soros–Minsky–Kindleberger (SMK) Model • The Strategic Analysis of Markets Method (SAMM) • Appendices: • Linear Algebra and Quadratic Forms • Probability and Statistics • Statistical Tests for Financial Analysis • Statistical Tables • The R-Language Environment Used in this Book • Volume 2: Trading System Analytics: • Cash Flows: • Cash Flow Analysis: Statics • Cash Flow Analysis: Dynamics • Trading Systems for the Curve • Trading System Tools: • The Mechanics of Trading Systems Development and Testing • Modeling Methods for Trading Systems • Profitable Trading Systems: • Break-Out Trend Following • Break-Out Trend Following, Continued • The Family of Trend Anomalies • and Pairs Trading • The Mean-Variance World • Active Portfolio Management • Appendices: • Linear Algebra and Quadratic Forms • Statistical Tests for Financial Analysis • The R-Language Environment Used in this Book