Erschienen: 13.04.2012 Abbildung von Abergel / Bouchaud / Foucault / Lehalle / Rosenbaum | Market Microstructure - Confronting Many Viewpoints | 2012

Abergel / Bouchaud / Foucault / Lehalle / Rosenbaum

Market Microstructure - Confronting Many Viewpoints

2012. Buch. 254 S. Hardcover

wiley. ISBN 978-1-119-95241-1

Format (B x L): 16,8 x 24,4 cm

Gewicht: 522 g

In englischer Sprache

Das Werk ist Teil der Reihe: Wiley Desktop Editions

Produktbeschreibung

The latest cutting-edge research on market microstructure

Based on the December 2010 Bachelier Society annual conference on market microstructure, 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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