Market microstructure : confronting many viewpoints /

• Άλλοι συγγραφείς: Abergel, Frédéric
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, N.J. : Wiley, 2012.
• Σειρά: Wiley finance series.
• Θέματα: Securities.; Securities > Prices.; Stock exchanges.; Microfinance.; BUSINESS & ECONOMICS > Investments & Securities > General.; Investments.; Electronic books.

 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. 

 Cover; Series; Title Page; Copyright; Introduction; About the Editors; Part I: Economic Microstructure Theory; 1: Algorithmic Trading: Issues and Preliminary Evidence; 1.1 INTRODUCTION; 1.2 WHAT IS ALGORITHMIC TRADING?; 1.3 MARKET STRUCTURE AND ALGORITHMIC TRADING; 1.4 COSTS AND BENEFITS OF ALGORITHMIC TRADING; 1.5 EMPIRICAL EVIDENCE; 1.6 CONCLUSIONS; 1.7 APPENDIX; ACKNOWLEDGMENT; 2: Order Choice and Information in Limit Order Markets; 2.1 INTRODUCTION; 2.2 ORDER CHOICE WITH SYMMETRIC INFORMATION; 2.3 ORDER CHOICE WITH ASYMMETRIC INFORMATION; 2.4 THE INFORMATION CONTENT OF ORDERS.