Market Microstructure Confronting Many Viewpoints
Synopsis
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.Book details
- Edition:
- 2
- Series:
- The Wiley Finance Series
- Author:
- Frederic Abergel, Frdric Abergel, Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle, Fr Eacute, D Eacute, Ric Abergel, Jean-Philippe Bouchaud
- ISBN:
- 9781119952770
- Related ISBNs:
- 9781118673553, 9781119952411
- Publisher:
- Wiley
- Pages:
- 416
- Reading age:
- Not specified
- Includes images:
- No
- Date of addition:
- 2019-11-15
- Usage restrictions:
- Copyright
- Copyright date:
- 2012
- Copyright by:
- N/A
- Adult content:
- No
- Language:
- English
- Categories:
- Business and Finance, Nonfiction