Market microstructure : confronting many viewpoints

edited by Frédéric Abergel ... [et al.]

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.

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Year of publication:	2012 ; Online-Ausg.
Other Persons:	Abergel, Frédéric (contributor)
Publisher:	Hoboken, N.J : Wiley
Subject:	Marktmikrostruktur \| Market microstructure \| Geld-Brief-Spanne \| Bid-ask spread \| Mikrostrukturtheorie <Kapitalmarkttheorie>
Description of contents:	Description [swbplus.bsz-bw.de]

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Extent:	Online-Ressource (1 online resource (xv, 238 p.)) ill.
Series:	The Wiley finance series Wiley finance The Wiley Finance Ser ; v.650
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatzsammlung
Language:	English
Notes:	Includes bibliographical references (p. [213]-225) and index. - Description based on print version record
ISBN:	978-1-280-67910-0 ; 1-280-67910-7 ; 978-1-119-95277-0 ; 978-1-119-95241-1 ; 978-1-119-95277-0 ; 978-1-119-95278-7 ; 978-1-119-95277-0 ; 978-1-119-95279-4 ; 1-280-67811-9
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012661697