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2016 夏天當我在讀 John Teall 的書 Financial Trading and Investing 之 時，我覺得他的書會是一般投資學教科書有用的輔助教材，因為他的書論及一般投資學教本通常不強調的話題：證券交易的最新發展、法人機構交易、 與市場微觀。他的書對於套利和避險也有比較深入的探討。不過，他的書作為輔助教材是太長的。所以這引發我寫一本類似但相當精簡的書的構想。更重要的是，本書是中英對照的。我感覺很多台灣的財務學生要不是學英文教 iii 材但並不充分暸解，就是學中文教材但對英文的財務專用詞或文章和台灣之外的財金環境了解不足。我希望藉由這中英文教材能對台灣財務業更進一步 的全球化有微小的貢獻。還有，因為財務交易對大部分投資者是重要的議題，我儘量使用簡化但仍具實用性的例子。我的目標是讓財務背景不強的讀者也可暸解此書內容。
While I was reading John L. Teall’s book entitled Financial Trading and Investing back in the summer of 2016, I felt his book might be a useful supplement to conventional investments books in that his book covers material not typically covered in conventional investments books, namely, recent development in security trading, institutional trading, and market microstructure; furthermore, his book covers arbitrage and hedging in greater depth. However, his book is too long to be used as a supplement. Therefore, I came up with the idea of writing a similar but much-streamlined book. More importantly, the book is written in both English and Chinese. I feel that many finance students in Taiwan either study English texts but do not fully understand them, or study Chinese texts but have difficulties in understanding finance terms and writing in English or financial environments outside Taiwan. By writing the book in both English and Chinese, I hope to contribute a little to further globalization of the financial industry in Taiwan. Moreover, because financial trading is a relevant issue to most investors, I make efforts to provide simplified yet practical examples. My aim is to make the book understandable to readers without a strong finance background.
本書共有八章，安排如下。第一與第二章討論交易環境；第三至第五章討論套利和避險；第六章討論投資表現的衡量；第七與第八章討論跟人的行為有關的話題：市場效率、行為傾向、資訊不對稱的影響和其他因素如國家文化。第三至第六章比較技術性也有較多的數量化例子。
The book contains eight chapters and is organized as follows. Chapters 1 and 2 cover the trading environment; Chapters 3 through 5 discuss arbitrage and hedging; Chapter 6 discusses performance evaluation; and Chapters 7 and 8 discuss the human aspects: market efficiency, behavioral tendencies, the effects of information asymmetry, and other factors such as the role of national culture. Chapters 3 through 6 involve more technical material and contain more numerical examples.
本書有數種用途。第一、因為要使本書精簡化，我只能呈現較重要的教材。所以它適合短期課程。它尤其適合財務機構的短期訓練課程，因為財務機構經常的進行全球性交易、套利與避險。要指出的是，本書雖是簡要，有些進階但知名的教材如 Black-Scholes 微分方程式也有討論，因為我覺得這會給讀者對較數量化的模式有更大的信心。第二、因本書強調交易、套利和 避險，它可作為專門課程如法人交易、投資銀行、風險管理、或市場微觀的教科書。第三、它可當傳統投資學的輔助教材。第四、因為它使用簡化但仍具實用性的例子，它也可用於自我學習。
The book can be used in several ways. First, writing a streamlined book forces me to present only the more essential material. As such, it is particularly suitable for a short course. It is especially suitable for financial institutions’ short trading programs given that financial institutions regularly perform trading, arbitrage, and hedging around the world. It should be pointed out that, although the book is short, I cover some advanced yet well-known material such as Black-Scholes differential equation because I believe this would give readers more confidence in dealing with more mathematics-based trading models. Second, because the book emphasizes trading, arbitrage, and hedging, it can be used as a text for specialized courses such as institution trading, investment banking, risk management or market microstructure. Third, it can be used as a supplement to traditional investment books. Fourth, because the examples are simplified yet practical, it is also suitable for self-study.
While I was reading John L. Teall’s book entitled Financial Trading and Investing back in the summer of 2016, I felt his book might be a useful supplement to conventional investments books in that his book covers material not typically covered in conventional investments books, namely, recent development in security trading, institutional trading, and market microstructure; furthermore, his book covers arbitrage and hedging in greater depth. However, his book is too long to be used as a supplement. Therefore, I came up with the idea of writing a similar but much-streamlined book. More importantly, the book is written in both English and Chinese. I feel that many finance students in Taiwan either study English texts but do not fully understand them, or study Chinese texts but have difficulties in understanding finance terms and writing in English or financial environments outside Taiwan. By writing the book in both English and Chinese, I hope to contribute a little to further globalization of the financial industry in Taiwan. Moreover, because financial trading is a relevant issue to most investors, I make efforts to provide simplified yet practical examples. My aim is to make the book understandable to readers without a strong finance background.
本書共有八章，安排如下。第一與第二章討論交易環境；第三至第五章討論套利和避險；第六章討論投資表現的衡量；第七與第八章討論跟人的行為有關的話題：市場效率、行為傾向、資訊不對稱的影響和其他因素如國家文化。第三至第六章比較技術性也有較多的數量化例子。
The book contains eight chapters and is organized as follows. Chapters 1 and 2 cover the trading environment; Chapters 3 through 5 discuss arbitrage and hedging; Chapter 6 discusses performance evaluation; and Chapters 7 and 8 discuss the human aspects: market efficiency, behavioral tendencies, the effects of information asymmetry, and other factors such as the role of national culture. Chapters 3 through 6 involve more technical material and contain more numerical examples.
本書有數種用途。第一、因為要使本書精簡化，我只能呈現較重要的教材。所以它適合短期課程。它尤其適合財務機構的短期訓練課程，因為財務機構經常的進行全球性交易、套利與避險。要指出的是，本書雖是簡要，有些進階但知名的教材如 Black-Scholes 微分方程式也有討論，因為我覺得這會給讀者對較數量化的模式有更大的信心。第二、因本書強調交易、套利和 避險，它可作為專門課程如法人交易、投資銀行、風險管理、或市場微觀的教科書。第三、它可當傳統投資學的輔助教材。第四、因為它使用簡化但仍具實用性的例子，它也可用於自我學習。
The book can be used in several ways. First, writing a streamlined book forces me to present only the more essential material. As such, it is particularly suitable for a short course. It is especially suitable for financial institutions’ short trading programs given that financial institutions regularly perform trading, arbitrage, and hedging around the world. It should be pointed out that, although the book is short, I cover some advanced yet well-known material such as Black-Scholes differential equation because I believe this would give readers more confidence in dealing with more mathematics-based trading models. Second, because the book emphasizes trading, arbitrage, and hedging, it can be used as a text for specialized courses such as institution trading, investment banking, risk management or market microstructure. Third, it can be used as a supplement to traditional investment books. Fourth, because the examples are simplified yet practical, it is also suitable for self-study.
作者簡介
魏培煌
■ 學歷(Education)
美國路易斯安那州立大學財務博士
PhD in finance, Louisiana State
University
美國路易斯安那州立大學財務碩士
MS in finance, Louisiana State
University
台灣大學商學系商學學士
BS in business, National Taiwan
University
■ 經歷(Experiences)
靜宜大學財務金融系特聘教授
Distinguished Professor of Finance,
Providence University
美國紐奧良大學財務教授和
榮休講座教授
Professor of Finance and Emeritus
Professor, University of New Orleans
■ 學歷(Education)
美國路易斯安那州立大學財務博士
PhD in finance, Louisiana State
University
美國路易斯安那州立大學財務碩士
MS in finance, Louisiana State
University
台灣大學商學系商學學士
BS in business, National Taiwan
University
■ 經歷(Experiences)
靜宜大學財務金融系特聘教授
Distinguished Professor of Finance,
Providence University
美國紐奧良大學財務教授和
榮休講座教授
Professor of Finance and Emeritus
Professor, University of New Orleans
目次
CHAPTER 1 Securities Trading and Markets
證券交易與市場
CHAPTER 2 Institutional Trading and Financial Market Regulations
法人交易與財務市場管制
CHAPTER 3 Arbitrage and Arbitrage-Based Pricing Models for Derivatives
套利及以套利為基礎的衍生性商品計價模式
CHAPTER 4 Arbitrage and Hedging with Fixed Income Instruments and Currencies
固定收益工具和貨幣的套利及避險
CHAPTER 5 Arbitrage and Hedging with Derivatives
衍生性商品套利及避險
CHAPTER 6 Evaluating Trading Strategies and Performance
評估交易策略與效益
CHAPTER 7 Market Efficiency and Behavioral Finance
市場效率與行為財務學
CHAPTER 8 Information Asymmetry and Other Considerations in Global Trading
資訊不對稱與全球性交易須考慮的其他因素
證券交易與市場
CHAPTER 2 Institutional Trading and Financial Market Regulations
法人交易與財務市場管制
CHAPTER 3 Arbitrage and Arbitrage-Based Pricing Models for Derivatives
套利及以套利為基礎的衍生性商品計價模式
CHAPTER 4 Arbitrage and Hedging with Fixed Income Instruments and Currencies
固定收益工具和貨幣的套利及避險
CHAPTER 5 Arbitrage and Hedging with Derivatives
衍生性商品套利及避險
CHAPTER 6 Evaluating Trading Strategies and Performance
評估交易策略與效益
CHAPTER 7 Market Efficiency and Behavioral Finance
市場效率與行為財務學
CHAPTER 8 Information Asymmetry and Other Considerations in Global Trading
資訊不對稱與全球性交易須考慮的其他因素
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