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Market Microstructure

Confronting Many Viewpoints
 E-Book
Sofort lieferbar | Lieferzeit:3-5 Tage I
ISBN-13:
9781119952787
Einband:
E-Book
Seiten:
416
Autor:
Frédéric Abergel
Serie:
Wiley Finance Series
eBook Typ:
Adobe Digital Editions
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.
Inhaltsangabe

Introduction

About the Editors

PART I ECONOMIC MICROSTRUCTURE THEORY

1 Algorithmic Trading: Issues and Preliminary Evidence
Thierry Foucault

1.1 Introduction

1.2 What is algorithmic trading?

1.2.1 Definition and typology

1.2.2 Scope and profitability

1.3 Market structure and algorithmic trading

1.4 Costs and benefits of algorithmic trading

1.4.1 Algorithmic trading reduces search costs

1.4.2 Algorithmic trading has an ambiguous effect on adverse selection costs

1.4.3 Algorithmic trading and price discovery

1.4.4 Welfare effects

1.4.5 Algorithmic trading as a source of risk

1.5 Empirical evidence

1.5.1 Algorithmic trading and market liquidity

1.5.2 Algorithmic trading and volatility

1.5.3 Algorithmic trading and price discovery

1.5.4 Algorithmic trading and market stability

1.6 Conclusions

Appendix

Acknowledgment

References

2 Order Choice and Information in Limit Order Markets 41
Ioanid Rou

2.1 Introduction

2.2 Order choice with symmetric information

2.3 Order choice with asymmetric information

2.4 The information content of orders

2.5 Questions for future research

References

PART II HIGH FREQUENCY DATA MODELING

3 Some Recent Results on High Frequency Correlation
Nicolas Huth and Frédéric Abergel

3.1 Introduction

3.2 Data description

3.3 Multivariate event time

3.3.1 Univariate case

3.3.2 Multivariate case

3.3.3 Empirical results

3.4 High frequency lead/lag

3.4.1 The Hayashi–Yoshida cross-correlation function

3.4.2 Empirical results

3.5 Intraday seasonality of correlation

3.5.1 Empirical results

3.6 Conclusion

Acknowledgment

References

4 Statistical Inference for Volatility and Related Limit Theorems
Nakahiro Yoshida

4.1 Introduction

4.2 QLA for an ergodic diffusion process

4.3 QLA for volatility in the finite time-horizon

4.4 Nonsynchronous covariance estimation

4.4.1 Consistent estimator

4.4.2 Functional limit theorem

4.4.3 Application of YUIMA

4.4.4 Lead–lag estimation

4.5 YUIMA II for statistical analysis and simulation for stochastic differential equations

4.6 Higher order asymptotics and finance

4.6.1 Martingale expansion

4.6.2 Small σ expansion

Acknowledgments

References

PART III MARKET IMPACT

5 Models for the Impact of All Order Book Events
Zoltán Eisler, Jean-Philippe Bouchaud, and Julien Kockelkoren

5.1 Introduction

5.2 A short summary of market order impact models

5.3 Many-event impact models

5.3.1 Notation and definitions

5.3.2 The Trading and Market Micro-structure
Charles-Albert Lehalle

References

7 Collective Portfolio Optimization in Brokerage Data: The Role of Transaction Cost Structure
Damien Challet and David Morton de Lachapelle

7.1 Introduction

7.2 Description of the data

7.3 Results

7.4 The influence of transaction costs on trading behaviour from optimal mean-variance portfolios

7.5 Discussion and outlook

Acknowledgments

References

8 Optimal Execution of Portfolio Transactions with Short-Term Alpha
Adriana M. Criscuolo and Henri Waelbroeck

8.1 Introduction

8.2 Short-term alpha decay and hidden order arbitrage theory

8.3 Total cost definition and constraints

8.3.1 Equations without the risk term

8.3.2 Equations including risk without the alpha term

8.4 Total cost optimization

8.4.1 Results for λ = 0 and the arbitrary alpha term

8.4.2 Risk-adjusted optimization

8.5 Conclusions

8.5.1 Main results in the absence of short-term alpha

8.5.2 Main results with short-term alpha

8.5.3 Institutional trading practices

Proviso

References

Combined References

Index  

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