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Market microstructure : confronting many viewpoints / edited by Frédéric Abergel [and others].

Published
Chichester, West Sussex : Wiley, 2012.
Physical Description
1 online resource
Additional Creators
Abergel, Frédéric
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Series
Contents
pt. 1. Economic microstructure theory -- pt. 2. High frequency data modeling -- pt. 3. Market impact -- pt. 4. Optimal trading.
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, and other.
Subject(s)
Genre(s)
ISBN
1119952778 (electronic bk.)
9781119952770 (electronic bk.)
9781119952787 (ebk)
1119952786 (ebk)
9781119952794 (ebk)
1119952794 (ebk)
9781119952411 (cloth)
1119952417 (cloth)
Digital File Characteristics
data file
Form of work
Bibliography
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 37425638