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Market Microstructure

Confronting Many Viewpoints
 E-Book
Sofort lieferbar | Lieferzeit:3-5 Tage I
ISBN-13:
9781119952770
Einband:
E-Book
Seiten:
416
Autor:
Frédéric Abergel
Serie:
Wiley Finance Series
eBook Typ:
PDF
eBook Format:
E-Book
Kopierschutz:
Adobe DRM [Hard-DRM]
Sprache:
Englisch
Beschreibung:

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 guidebrings together the leading thinkers to discuss this importantfield of modern finance. It provides readers with vital insight onthe origin of the well-known anomalous "stylized facts" infinancial prices series, namely heavy tails, volatility, andclustering, and illustrates their impact on the organization ofmarkets, execution costs, price impact, organization liquidity inelectronic markets, and other issues raised by high-frequencytrading. World-class contributors cover topics including analysisof high-frequency data, statistics of high-frequency data, marketimpact, and optimal trading. This is a must-have guide forpractitioners and academics in quantitative finance.
Introduction

About the editors

About the contributors

Part I. Economic microstructure theory

1. Algorithmic trading: issues and preliminary evidence
T. Foucault

2. Order Choice and Information in Limit Order Markets
I. Rosu

Part II. High frequency data modeling

3. Some Recent Results on High Frequency Correlation
F. Abergel, N. Huth

Part III. Market impact

4. Models for the impact of all order book events
Z. Eisler, J.-P. Bouchaud, J. Kockelkoren

5. Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ ITCH Data
N. Hautsch, R. Huang

Part IV. Optimal trading

6. Collective portfolio optimization in brokerage data: the role of transaction cost structure
D. Challet, D. Morton del a Chappelle

7. Optimal execution of portfolio transactions with short-alpha
A. M. Criscuolo, H. Waelbroeck

Bibliography

Index
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.

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