High Frequency Trading Models + Website

Model.Implicit Consumer Decision Theory.Empirical Approaches.Analysis 1: Examination of Correlations and a Regression Model.Analysis 2: Structural Equation Model.Contributions of the ICD Theory.Conclusion.CHAPTER 8 More Multinomial Models and Signal Detection Models for Risk Propensity.Multinomial Models for Retail Investor Growth.Deriving Implicit Utility Functions.Transforming Likeability Rating Data into Observed Frequencies.Signal Detection Theory (SDT).Assessing a Fund's Performance with SDT.Assessing Value at Risk with Risk Propensity of SDT for Portfolio Managers.Defining Risk Propensity Surface.Conclusion.CHAPTER 9 Behavioral Economics Models on Fund Switching and Reference Prices.What Is VisualFunds for Fund Switching?Behavioral Factors That Affect Fund Switching.Theory and Predictions.Study 1: Arbitrary Anchoring on Inertia Equity.Study 2: Anchor Competition.Study 3: Double Log Law.Conclusion.PART III A Unique Model of Sentiment Asset Pricing Engine for Portfolio Management.CHAPTER 10 A Sentiment Asset Pricing Model.What Is Sentiment Asset Pricing Engine?Contributions of SAPE.Testing the Effectiveness of SAPE Algos.Primary Users of SAPE.Three Implementations of SAPE.SAPE Extensions: TopTickEngine, FundEngine, PortfolioEngine, and TestEngine.Summary on SAPE.Alternative Assessment Tools of Macro Investor Sentiment.Conclusion.CHAPTER 11 SAPE for Portfolio Management--Effectiveness and Strategies.Contributions of SAPE to Portfolio Management.Intraday Evidence of SAPE Effectiveness.Trading Strategies Based on the SAPE Funds.Case Study 1: Execution of SAPE Investment Strategies.Case Study 2: The Trading Process with SAPE.Case Study 3: Advanced Trading Strategies with SAPE.Creating a Successful Fund with SAPE and High-Frequency TradingConclusion.PART IV New Models of High-Frequency Trading.CHAPTER 12 Derivatives.What Is a Derivative?Mortgage-Backed Securities: Linking Major Financial Institutions.Credit Default Swaps.Options and Option Values.The Benefits of Using Options.Profiting with Options.New Profitable Financial Instruments by Writing Options.The Black-Scholes Model As a Special Case of the Binomial Model.Implied Volatility.Volatility Smile.Comparing Volatilities Over Time.Forwards and Futures.Pricing an Interest-Rate Swap with Prospect Theory.The Behavioral Investing Based On Behavioral Economics.Conclusion.CHAPTER 13 Technology Infrastructure for Creating Computer Algos.Web Hosting vs. Dedicated Web Servers.Setting Up a Dedicated Web Server.Developing Computer Algos.Jump Starting Algo Development with PHP Programming.Jump Starting Algo Development with Java Programming.Jump Starting Algo Development with C++ Programming.Jump Starting Algo Development with Flex Programming.Jump Starting Algo Development with SQL.Common UNIX/LINUX Commands for Algo Development.Conclusion.CHAPTER 14 Creating Computer Algos for High-Frequency Trading.Getting Probability from Z Score.Getting Z Scores from Probability.Algos for the Sharpe Ratio.Computing Net Present Value.Developing a Flex User Interface for Computer Algos.Algos for the Black-Scholes Model.Computing Volatility with the ARCH Formula.Algos for Monte Carlo Simulations.Algos for an Efficient Portfolio Frontier.Algos for Signal Detection Theory (SDT).Conclusion.Notes.References.About the Author.Index.