Market microstructure confronting many viewpoints

The latest cutting-edge research on market microstructureBased 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. INDICE: IntroductionAbout the editorsAbout the contributorsPart I. Economic microstructure theory1. Algorithmic trading: issues and preliminary evidenceT. Foucault2. Order Choice and Information in Limit Order MarketsI. RosuPart II. High frequency data modeling3. Some Recent Results on High Frequency CorrelationF. Abergel, N. HuthPart III. Market impact4. Models for the impact of allorder book eventsZ. Eisler, J.-P. Bouchaud, J. Kockelkoren5. Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ ITCH DataN. Hautsch, R. HuangPart IV. Optimal trading6. Collective portfolio optimization in brokerage data: the role of transaction cost structureD. Challet, D. Morton dela Chappelle7. Optimal execution of portfolio transactions with short-alphaA. M. Criscuolo, H. WaelbroeckBibliographyIndex

• ISBN: 978-1-119-95241-1
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 256
• Fecha Publicación: 27/04/2012
• Nº Volúmenes: 1
• Idioma: Inglés