Long/Short Market Dynamics: Trading Strategies for Today's Markets

Clive M. Corcoran

John Wiley & Sons, Feb 6, 2007 - Business & Economics - 358 pages

Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective.

The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes:

• A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities.
• Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism.
• Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples.
• Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics

Contents

• Trading Strategies for Todays Markets 1 Coming to Terms with New Market Dynamics: 1
• Trading Strategies for Todays Markets 2 Range Expansion and Liquidity: 13
• Trading Strategies for Todays Markets 3 Comparative Quantiles: 37
• Trading Strategies for Todays Markets 4 Volume as a Leading Indicator: 59
• Trading Strategies for Todays Markets 5 Alignments and Divergences: 95
• Trading Strategies for Todays Markets 6 Volatility: 135
• Trading Strategies for Todays Markets 7 The Morphology of Gaps: 163
• Trading Strategies for Todays Markets 8 Correlation and Convergence: 179
• Trading Strategies for Todays Markets 9 Random Walks and Power Laws: 201
• Trading Strategies for Todays Markets 10 Regime Shifts and Stationarity: 221
• Trading Strategies for Todays Markets 11 Money Management Techniques: 239
• Trading Strategies for Todays Markets 12 Portfolio Theory: 265
• Trading Strategies for Todays Markets 13 Alpha: 283
• Trading Strategies for Todays Markets 14 Markets as Networks: 303
• Trading Strategies for Todays Markets Notes: 315
• Trading Strategies for Todays Markets Bibliography: 329
• Trading Strategies for Todays Markets Index: 335

About the author

Clive M. Corcoran has been an active trader for many years on both sides of the Atlantic. He is also a trading software developer and consultant and focuses on risk reduction and market neutral strategies for portfolio managers. He has been a university lecturer in Economics and Statistics, is an acknowledged communicator on the capital markets and has been a featured speaker at trading expos and workshops. Previously he worked in radio broadcasting and was the founder and CEO of a personal and business management company for entertainment professionals that operated in Los Angeles, London and Toronto. Corcoran’s newsletter and daily market analysis are published at www.tradewithform.com. He lives in Berkshire, England.

Bibliographic information

• Title: Long/Short Market Dynamics: Trading Strategies for Today's Markets; Wiley Trading
• Author: Clive M. Corcoran
• Publisher: John Wiley & Sons, 2007
• ISBN: 0470065311, 9780470065310
• Length: 358 pages
• Subjects: Business & Economics / Accounting / General; Business & Economics / Finance / General; Business & Economics / General