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Market microstructure : confronting many viewpoints / edited by Frédéric Abergel ... [et al.]

Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: The Wiley finance series | Wiley finance | The Wiley Finance Ser ; v.650Publisher: Hoboken, N.J : Wiley, 2012Copyright date: ©2012Edition: Online-AusgDescription: Online-Ressource (1 online resource (xv, 238 p.)) : illISBN:
  • 9781280679100
  • 1280679107
  • 9781119952770
Subject(s): Genre/Form: Additional physical formats: 9781119952411 | 9781119952787 | 9781119952770 | 9781119952794 | 1280678119 | Erscheint auch als: 1280678119 Druck-AusgabeDDC classification:
  • 332.642
  • 332.64/2 23
RVK: RVK: QK 626LOC classification:
  • HG4521
Online resources: 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 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.Summary: Intro -- Market Microstructure -- Contents -- 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? -- 1.2.1 Definition and typology -- 1.2.2 Scope and profitability -- 1.3 Market structure and algorithmic trading -- 1.4 Costs and benefits of algorithmic trading -- 1.4.1 Algorithmic trading reduces search costs -- 1.4.2 Algorithmic trading has an ambiguous effect on adverse selection costs -- 1.4.3 Algorithmic trading and price discovery -- 1.4.4 Welfare effects -- 1.4.5 Algorithmic trading as a source of risk -- 1.5 Empirical evidence -- 1.5.1 Algorithmic trading and market liquidity -- 1.5.2 Algorithmic trading and volatility -- 1.5.3 Algorithmic trading and price discovery -- 1.5.4 Algorithmic trading and market stability -- 1.6 Conclusions -- Appendix -- Acknowledgment -- References -- 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 -- 2.5 Questions for future research -- References -- PART II HIGH FREQUENCY DATA MODELING -- 3 Some Recent Results on High Frequency Correlation -- 3.1 Introduction -- 3.2 Data description -- 3.3 Multivariate event time -- 3.3.1 Univariate case -- 3.3.2 Multivariate case -- 3.3.3 Empirical results -- 3.4 High frequency lead/lag -- 3.4.1 The Hayashi-Yoshida cross-correlation function -- 3.4.2 Empirical results -- 3.5 Intraday seasonality of correlation -- 3.5.1 Empirical results -- 3.6 Conclusion -- Acknowledgment -- References -- 4 Statistical Inference for Volatility and Related Limit Theorems -- 4.1 Introduction -- 4.2 QLA for an ergodic diffusion process -- 4.3 QLA for volatility in the finite time-horizon.PPN: PPN: 807358991Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
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