The Equity Trader Course, (with CD-ROM)

Without trading, investing is an academic exercise. This book and its computer simulation bridge the gap and should be required reading for traders, old and new, and anyone who wants to understand why America's equity markets are the richest and deepest in the world. Part primer and part advanced discussion of modern trading techniques and technology, this book should be in every trading room. Authors Schwartz, Francioni, and Weber—along with a slew of important contributors—have created the definitive course on equity trading. Ignore this book at your investing peril.

Foreword Alfred R. Berkeley III, CEO, Pipeline Trading Systems LLC. Preface. CHAPTER 1 Getting a Grip on Trading. Order Arrival. The Bid-Ask Spread. The Liquidity Dimension. Overview of TraderEx. Getting Started with TraderEx. From the Contributors 38 Using Trading Simulations on an Academic Trading Floor: Where the Rubber Meets the Road (Richard D. Holowczak). Reflections of a Finance Professor (Michael S. Pagano). On-the-Job Training at Mako (David Segel). CHAPTER 2 All About Liquidity. From Information to Prices. Defining Liquidity. Liquidity and Transaction Costs. Intraday Price Volatility, Price Discovery, and Quantity Discovery. The Origins of Liquidity. Illiquiditys Footprints in the Transaction Records. Discussion. From the Contributors. Satisfying Institutional Traders Quest for Liquidity (Peter Jenkins). Giving Customers Greater Choice in Trade Execution: The NYSE Hybrid Market (John A. Thain). Market Reaction to New Information (Claudio Werder and René Weber). CHAPTER 3 How to Use Limit and Market Orders. The Order Book and the Market. Order Types. A Look at the Market. A Reservation Price. Cost of Placing a Limit Order. Compensation for Placing a Limit Order. Should You Submit a Limit Order or a Market Order? How Should You Price Your Limit Orders? The Bid-Ask Spread. Handling a Large Order. An Option Traders View of Limit Orders. The Big Picture. From the Contributors. The Emergence and Growth of an Electronic Order-Driven Market (Gerald Putnam). The Use of Limit and Market Orders (Rainer Riess and Uwe Schweickert ). Order-Driven Markets: The Route to Best Execution (Jean-François Théodore). Exercises 158 CHAPTER 4 Choosing between Continuous Trading and a Periodic Call Auction. How is a Call Auction Used? Call Auctions and Market Structure. Bookbuilding. Order Handling Differences. NASDAQs Crosses. How to Submit an Order to a Call Auction. A Reality Check. Option Value of Limit Orders in a Call Auction. Time to Call the Market. From the Contributors. A Call Is Not a Call Is Not a Call (Alfred R. Berkeley III). The NASDAQ Crosses: A View from the Inside (Frank M. Hatheway). Call Market Tradings About Time (James Ross). Exercises. Appendix to Chapter 4: Further Details on Clearing Price Determination. CHAPTER 5 Market Intermediaries: Nuts Bolts and Challenges. Emergence of the Modern Markets. Intermediation on the NYSE. Intermediation at NASDAQ. Overview of Market Maker Operations. Order Handling and Transparency in a Dealer Market. Competition and Preferencing. Price Improvement. The Future of Intermediaries in Hybrid Markets. From the Contributors. NASDAQ Market Makers in the NASDAQ Stock Market (Robert Greifeld). Electronic Intermediaries for Block Trading (Martin Reck ). The Importance of Market Making (Frank L. Romanelli). CHAPTER 6 The Road to Technical Analysis and Algorithmic Trading. Dynamic Price Discovery. Quantity Discovery. Technical Analysis. Algorithmic Trading. From the Contributors. Algo History at TIAA-CREF (Paul L. Davis). The Complexity of Market Information (John H. Porter). The Mood of a Market (David Segel ). Appendix to Chapter 6: Order Handling and Market Timing on a Trading Floor. CHAPTER 7 Performance Measurement. Three Simple Performance Measures. Transaction Cost Analysis. Risk Management. Best Execution. Measuring the Performance of a Market Center. Best Execution and Performance Reconsidered. From the Contributors. The Quest for TradingAlpha! (Marcus Hooper). How Intelligent Traders Enhance Their Skills with a TCA Report (Wayne H. Wagner and Melissa Spurlock). Appendix to Chapter 7: Explaining Risk Aversion. APPENDIX Prices and Returns. The Measurement of Returns. Prices. Returns. The Intervaling Effect. About the Authors and Contributors. Notes. About the CD-ROM. Index.