Login

Abergel, Frédéric

Market Microstructure: Confronting Many Viewpoints

Abergel, Frédéric - Market Microstructure: Confronting Many Viewpoints, ebook

59,50€

Ebook, ePUB with Adobe DRM
ISBN: 9781119952787
DRM Restrictions

Printing125 pages with an additional page accrued every 6 hours, capped at 125 pages
Copy to clipboard5 excerpts

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.

Keywords: Financial Engineering, bachelier society, market microstructure, high frequency trading, high-frequency trading, guide to market microstructure, market microstructure high frequency finance and optimal trading strategies, high frequency finance, high-frequency finance

Author(s)
 
 
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2012
Language
en
Edition
1
Series
The Wiley Finance Series
Page amount
416 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781119952787
Printed ISBN
9781119952411

Similar titles