"Market Microstructure. Confronting Many Viewpoints" - это книга, которая содержит последние теоретические исследования в области микроструктуры рынка. Она основана на конференции, которая проходила в декабре 2010 года при поддержке Института Луи Башелье. В книге ведущие эксперты обсуждают важность этой области в современной финансовой индустрии. Они предоставляют читателям важную информацию об источниках известных "стилизованных фактов" в финансовых временных рядах, таких как тяжелые хвосты, изменчивость и кластеризация, а также их влияние на организацию рынков, стоимость исполнения ордеров, влияние на цены, ликвидность электронных рынков и другие вопросы, связанные с высокочастотной торговлей. В книге также рассмотрены темы, такие как анализ высокочастотных данных, статистика высокочастотных данных, влияние на рынок и оптимальная торговля. Эта книга обязательна для практикующих и ученых в области количественной финансовой аналитики.
The latest research on the cutting edge of market microstructure Presented based on the March 2009 market microstructure seminar co-organised with the support of the L.B. Institute, this volume brings together the thought leaders of this essential area of modern economic investigation. It gives professionals an invaluable insight into the origins of the famous “anomalies” in financial price series — broadly characterized by heavy tails and volatility and their effect on market organization, execution cost, price reaction, electronic market liquidity, and related issues facing high frequency trading. Leading contributors include coverage of areas such as data analysis in the high-frequency limit, high-frequency statistical methods, market reaction, and genuine trading optimization. Absolutely essential for practitioners in quantitative economic practice and academic researchers alike.
The latest research cutting edge about market microstructure Through the conference of December 2009 forum about microstructure organized with help of Institut Louis Bachelier this book gather together the greatest thinkers talking about this general area of contemporary finance. We provide readers with critical analyses of creation of knowledge the well-famous phenomenal «styled facts facts», including heavy tails style, volatility and cooperating collectively, as well as their aftereffect on organization of market, carry out batching charges, impact price, liquidity within electronic market and different subjects addressed by high frequency merchandising. Writers of global styles incorporate analyses performed concerning high rate data, distribution of substantial data, impact of market and ideal merchandising amongst others. This happens to be a necessity overview for professional and academic people inside quantitative investing.
Электронная Книга «Market Microstructure. Confronting Many Viewpoints» написана автором Jean-Philippe Bouchaud в году.
Минимальный возраст читателя: 0
Язык: Английский
ISBN: 9781119952770
Описание книги от Jean-Philippe Bouchaud
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.
