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Market Microstructure
ISBN-13:
9781119952770
Veröffentl:
2012
Einband:
E-Book
Seiten:
416
Autor:
Frédéric Abergel
eBook Typ:
PDF
eBook Format:
Reflowable
Kopierschutz:
2 - DRM Adobe
Sprache:
Englisch
Beschreibung:
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 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.
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