High Frequency Trading and Limit Order Book Dynamics

Business & Finance
Cover of the book High Frequency Trading and Limit Order Book Dynamics by , Taylor and Francis
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: ISBN: 9781317570769
Publisher: Taylor and Francis Publication: April 14, 2016
Imprint: Routledge Language: English
Author:
ISBN: 9781317570769
Publisher: Taylor and Francis
Publication: April 14, 2016
Imprint: Routledge
Language: English

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics.

This book was originally published as a special issue of European Journal of Finance.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics.

This book was originally published as a special issue of European Journal of Finance.

More books from Taylor and Francis

Cover of the book Urbanization and Climate Co-Benefits by
Cover of the book Universal Design for Learning in the Early Childhood Classroom by
Cover of the book New Era - New Religions by
Cover of the book The Business of Leadership by
Cover of the book Personalising Library Services in Higher Education by
Cover of the book Methods and Contexts in the Study of Muslim Minorities by
Cover of the book Stories, Visions and Values in Voluntary Organisations by
Cover of the book Lesbian Utopics by
Cover of the book Self-Knowledge by
Cover of the book American Immigrant by
Cover of the book Development Dilemmas by
Cover of the book Seismic Isolation for Architects by
Cover of the book UN Millennium Development Library: Environment and Human Well-being by
Cover of the book Secrets of Life, Secrets of Death by
Cover of the book A Feminist Glossary of Human Geography by
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy