Market Microstructure

Confronting Many Viewpoints

Business & Finance, Finance & Investing, Finance
Cover of the book Market Microstructure by , Wiley
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Author: ISBN: 9781119952787
Publisher: Wiley Publication: April 3, 2012
Imprint: Wiley Language: English
Author:
ISBN: 9781119952787
Publisher: Wiley
Publication: April 3, 2012
Imprint: Wiley
Language: English

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.

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

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.

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