模拟交易艺术：《交易者之路》课程详解

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《掌握股票交易的艺术：通过模拟实践》（Mastering the Art of Equity Trading through Simulation: The TraderEx Course）是由罗伯特·A·施瓦茨（Robert A. Schwartz）、格雷戈里·M·西普雷斯（Gregory M. Sipress）和布鲁斯·W·韦伯（Bruce W. Weber）共同撰写的著作。这本书是 Wiley Trading 系列的一部分，该系列以其实战经验丰富的交易者所著书籍而闻名，这些作者不仅在不断变化的市场环境中生存下来，还取得了成功，有的通过创新系统，有的回归基础原则。无论你是新手交易者、专业投资者还是介于两者之间的学习者，这本书都提供了在当今及未来市场中取得成功的实用建议和策略。本书的核心理念是通过仿真模拟的方式，让读者在风险较低的环境中学习和实践股票交易技巧。它强调的是实践操作的重要性，让学习者能够在虚拟的交易平台上磨炼技能，熟悉市场动态和交易流程，从而减少实际交易中的不确定性和压力。《TraderEx课程》的部分内容可能包括技术分析、基本面分析、风险管理、交易心理学以及如何制定并执行交易计划等内容。作为一本教程，它可能包含了详细的教学步骤、案例研究、实时数据模拟以及互动式工具，帮助读者在模拟环境中逐步提升交易决策能力。此外，书中可能会探讨交易心理的训练，因为理解自己的情绪和行为对交易结果的影响至关重要。约翰·威利父子有限公司（John Wiley & Sons, Inc.），成立于1807年，是美国最古老的独立出版商之一，其全球化的办公室遍布北美、欧洲、澳大利亚和亚洲。这家公司致力于开发和推广书籍和电子产品，旨在提升读者的专业和个人知识水平。如果你想要了解完整的书目或者获取更多关于股票交易和模拟交易的信息，可以访问他们的官方网站 www.WileyFinance.com。《Mastering the Art of Equity Trading through Simulation》是一本实用且富有深度的教育资源，适合任何希望提升股票交易技巧，特别是通过模拟交易实践的人士。通过阅读和实践这本书中的内容，交易者可以在理论与实践之间建立稳固的基础，提高交易技能，为未来的投资生涯打下坚实的基础。

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xiv PREFACE

meet and transact against each other). Each of these markets represents a different

economic environment, and each presents different decisions to make. You may not

fully appreciate this in an economics theory course, but you will in the TraderEx

Course: market structure matters.

OVERVIEW OF THE BOOK

The book is broken into two parts. The ﬁrst part establishes a background on

trading and markets from an economics perspective, and provides an overview

of the simulation model and the TraderEx software. The second part gives you a

sequences of exercises in which you will trade in different market environments

created by the TraderEx software and its settings.

Here is a more detailed overview of Part One:

Chapter 1, Equity Market Trading: This chapter provides a broad overview

of the equity markets, paying particular attention to trading costs and liq-

uidity, two intimately related concepts. The four generic market structures

that we have already noted are presented: the continuous order driven

market, the call auction, the quote driven dealer market, and the nego-

tiated block market. A crossing network, a facility that in a number of

respects resembles the call auction, is also introduced. The concept of in-

formational efﬁciency (or the lack thereof) is addressed, and the Efﬁcient

Markets Hypothesis (EMH) and random walk theory are included in the

discussion.

We then turn to investor expectations. Expectations link the funda-

mental information that investors possess to security prices that are set

in the marketplace. In discussing this link, we distinguish between the

standard academic assumption that informed investors have homogeneous

expectations, and the marketplace reality that informed investors have di-

vergent expectations (very importantly, TraderEx allows for such diver-

gency).

The chapter also sets forth the key players in the marketplace. Buy-side

investors are distinguished from sell-side broker/dealer intermediaries. In

turn, the buy-side participants are categorized as information traders, liq-

uidity traders, and technical traders.

Chapter 2, Simulation as a Learning Tool: Chapter 2 explains what a sim-

ulation model requires to be an effective learning tool, and establishes the

underlying economic structure of the TraderEx simulator. We distinguish

between simulations based on historic (canned) data, and those run using

computer-generated data. Canned data come from real markets and thus

reﬂect reality, but constrain the exercises to what happened without regard

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Preface xv

to any impacts that your own orders can have. Our TraderEx computer

generated simulation offers ﬂexibility and control that would otherwise

be unobtainable. To deliver its promise and to be engaging, the computer-

driven trading model must have four properties that are next discussed:

it must capture the pricing dynamics of a real-world marketplace, it must

give you some basis for anticipating future price movements, it must let

you replay a simulation with some parameter and/or market structure fea-

ture changed, and it must provide meaningful benchmarks against which

your performance can be assessed.

TraderEx’s order ﬂow is based on draws from various distributions,

but underlying the statistical events are economic stories that pertain to

the three types of traders that we introduce in Chapter 1: informed traders,

liquidity traders, and technical traders. The chapter explains the economic

models that support our statistical procedures.

Chapter 3, How to Use TraderEx: This chapter provides details about the

TraderEx simulation software. After giving an overview of the simulation

environment and specifying the requirements for running TraderEx, fur-

ther detail is presented concerning the speciﬁc market structures that you

will be trading in: the continuous order driven (order book) market, the

quote driven dealer market, the order driven periodic call auction, a block

trading facility, and a crossing network.

Chapter 4, Introduction to Trading Exercises: This chapter provides fur-

ther information about markets and market participants so that you might

have a good conceptual framework when undertaking the simulation exer-

cises. Particular attention is paid, in turn, to the perspectives of buy-side

participants and of sell-side market intermediaries. The TraderEx perfor-

mance measures are then set forth and explained.

The material in Part One is also discussed in two related books: Equity Mar-

kets in Action (by Robert A. Schwartz and Reto Francioni) and The Equity Trader

Course (by Robert A. Schwartz, Reto Francioni, and Bruce W. Weber). Both of these

books provide further information on equity market structure, on the role and op-

erations of exchanges, and on a spectrum of other topics including trading costs,

public policy, and government regulatory intervention. If you are familiar with this

material, you might wish to skim Chapters 1 and 2. Chapters 3 and 4 show you how

to use the TraderEx software and introduce you to the trading exercises.

Part Two presents exercises along with additional discussion of the software

and trading mechanisms that you will be operating within. The following is an

overview of the ﬁve chapters containing hands-on trading exercises:

Chapter 5, Microeconomics Goes to Market: This chapter is the ﬁrst of

ﬁve that contain exercises that give you speciﬁc instructions for using the

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xvi PREFACE

simulator. The eight exercises in this chapter are based on end-of-chapter

material presented in the Wiley book, Micro Markets: A Market Structure

Presentation of Microeconomic Theory (by Robert Schwartz). The ﬁrst ex-

ercise gets you started with the simulator, and the seven that follow pertain

to basic microeconomic formulations. They are:

1. Let’s Look at a Market

2. What Are Your Attitudes Toward Risk?

3. Call Market Trading

4. Trading Costs in Action

5. Dealer Costs and Inventory Control

6. Inter-Market Competition for a Stock Exchange

7. Finding an Equilibrium Value

8. Economic Effects of an Order Protection Rule

Chapter 6, The Order Book Market Structure: This chapter and the three

that follow present exercises that target speciﬁc market structures. The ex-

ercises in this chapter ﬁrst get you entering orders in a simple order book

system that characterizes trading in an order driven market. After becom-

ing familiar with the sizing and pricing of your orders, you will encounter

the challenge of handling a really big order, of trading in an illiquid market,

and of coping with heightened volatility. In the later simulation exercises

you will, among other things, be given news releases, and you will be intro-

duced to trading in a crossing network.

Chapter 7, The Call Auction Market Structure: The chapter ﬁrst presents

further information about call auction trading that includes an explanation

of how your own orders can affect the clearing price that is set in a call.

The exercises that follow ﬁrst enable you to get comfortable interacting

with the call auction, and then challenge you with working a large order

when call and continuous trading are both available. You will also play

the role of a proprietary trader who is presented with news releases. The

last of these exercises is structured to emphasize different dimensions of

your trading performance, and you will be able to assess and analyze your

performance score.

Chapter 8, Dealer Markets—What Do The Trading Intermediaries Do?

The chapter begins by giving you further information about the operations

of a dealer market. The exercises then challenge you to manage your in-

ventory position and risk by appropriate quote setting. You will also be

exposed to the effect that preferencing has on your quote setting and in-

ventory management. You will experience the challenge of market making

in volatile markets, and in low liquidity markets. From the perspective of

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