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Market microstructure : confronting many viewpoints / edited by Frédéric Abergel ... [et al.].
- Format:
- Book
- Series:
- Wiley finance series.
- Wiley finance
- Language:
- English
- Subjects (All):
- Securities.
- Securities--Prices.
- Stock exchanges.
- Microfinance.
- Physical Description:
- 1 online resource (256 p.)
- Edition:
- 1st edition
- Place of Publication:
- Chichester, West Sussex, U.K. : Wiley, 2012.
- Language Note:
- English
- System Details:
- text file
- Summary:
- 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,
- Contents:
- pt. 1. Economic microstructure theory
- pt. 2. High frequency data modeling
- pt. 3. Market impact
- pt. 4. Optimal trading.
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and index.
- ISBN:
- 9786613656032
- 9781118673553
- 1118673557
- 9781280679100
- 1280679107
- 9781119952770
- 1119952778
- OCLC:
- 775591942
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