Mastering the Art of Equity Trading Through Simulation: The TraderEx Course, + Web-Based Software

Preface.

How TraderEx Works.

Who This Book is For.

Overview of the Book.

Downloading the TraderEx Software.

How TraderEx Works with Micro Markets.

Acknowledgements.

Part One: An Overview of Equity Market Trading.

Chapter 1: Equity Market Trading.

The Costs of Trading.

Liquidity.

Market Structure.

Informational Efficiency (or the Lack Thereof).

Expectations.

The Players.

Summary.

Chapter 2: Simulation as a Learning Tool.

Canned versus Computer Generated Prices and Quotes.

Appendix: Intertemporal Returns Correlation.

Summary.

Chapter 3: How to Use TraderEx.

An Overview of the TraderEx Environment.

The Continuous Order Book Market.

The Dealer Market.

Call Auctions.

Block Trading Facility.

Crossing Network.

Hybrid Markets.

Summary.

Chapter 4: Introduction to the Trading Exercises.

The Buy-Side Perspective.

The Sell-Side Intermediary Perspective.

TraderEx Performance Measures.

Summary.

Part Two: TraderEx Exercises.

Chapter 5: Microeconomics Goes to Market.

Exercise 5.1: The Look of a Financial Market.

Exercise 5.2: What Are Your Attitudes Toward Risk?

Exercise 5.3: Call Market Trading.

Exercise 5.4: Trading Costs in Action.

Exercise 5.5: Dealer Costs and Inventory Control.

Exercise 5.6: Inter-Market Competition for a Stock Exchange.

Exercise 5.7: Finding an Equilibrium Value.

Exercise 5.8: Economic Effects of an Order Protection Rule.

Conclusion.

Chapter 6: The Order Book Market Structure.

Exercise 6.1: Entering Limit Orders.

Exercise 6.2: Entering Market Orders.

Exercise 6.3: Adjusting Limit Orders.

Exercise 6.4: Sizing your Orders – Markets and Limits.

Exercise 6.5: Post-Trade Analysis.

Exercise 6.6: A Really Big Order.

Exercise 6.8: Illiquidity.

Exercise 6.9: Heightened Volatility.

Exercise 6.10: News and Changing Expectations.

Exercise 6.11: Endogenous Expectations.

Exercise 6.12: A One-Year Holding Period.

Exercise 6.13: Crossing Networks.

Exercise 6.14: A Networked Simulation.

Conclusion.

Chapter 7: The Call Auction Market Structure.

The Price Setting Mechanism in TraderEx Call Auctions.

Exercise 7.1: Mechanics of the Opening Call Auction.

Exercise 7.2: Your TraderEx Call Auction Orders.

Exercise 7.3: Your Influence on TraderEx Call Auction Prices.

Exercise 7.4: Participating in the Opening Call Auction.

Exercise 7.5: Working a Large Order with Call Auctions.

Exercise 7.6: Proprietary Trading with Call Auction, and News Releases.

Exercise 7.7: Emphasizing Different Dimensions of Trading Performance.

Exercise 7.8: A Partially Disclosed Call Auction.

Conclusion.

Chapter 8: Dealer Markets: What Do the Trading Intermediaries Do?

Operations of Quote Driven Markets.

Exercise 8.1: Changing Quotes to Control Your Inventory.

Exercise 8.2: Market Maker Performance.

Exercise 8.3: Market Maker Risk Performance.

Exercise 8.4: Preferencing in Market Maker Systems.

Exercise 8.5: Volatility and Market Making.

Exercise 8.6: Low Liquidity and Market Making.

Exercise 8.7: Alternative Trading Systems and Market Making.

Conclusion.

Chapter 9: Dark Pools: How Undisclosed Liquidity Works.

Exercise 9.1: Mechanics of the Dark Pool.

Exercise 9.2: Seeking Advantages from Dark Pool Pricing.

Exercise 9.3: Working a Large Order with a Dark Pool.

Exercise 9.4: Proprietary Trading with Call Auction, and News Releases.

Exercise 9.5: Emphasizing Different Dimensions of Trading Performance.

Exercise 9.6: Dark Pools and Trade-Through Rules.

Conclusion.

About the Authors.

Index.