| Description |
1 online resource. |
|
data file rda |
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Bibliography |
| Series |
Wiley finance series |
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Wiley finance series.
|
| Bibliography |
Includes bibliographical references and index. |
| 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 |
Securities.
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Securities -- Prices.
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Stock exchanges.
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Microfinance.
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Valeurs mobilières -- Prix. |
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Bourse. |
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stock exchanges. |
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Microfinance |
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Securities |
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Securities -- Prices |
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Stock exchanges |
| Added Author |
Abergel, Frédéric.
|
| Other Form: |
Print version: Market microstructure. Chichester, West Sussex : Wiley, 2012 9781119952411 1119952417 (DLC) 2012002916 |
| ISBN |
1119952778 (electronic bk.) |
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9781119952770 (electronic bk.) |
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9781119952787 (ebk) |
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1119952786 (ebk) |
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9781119952794 (ebk) |
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1119952794 (ebk) |
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(cloth) |
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(cloth) |
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