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Market microstructure in practice

Lehalle, Charles-Albert.

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Market microstructure in practice

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Market microstructure in practice/ editors, Charles-Albert Lehalle, Sophie Laruelle.
其他作者:	Lehalle, Charles-Albert.
出版者:	Singapore :World Scientific Publishing, : c2018.,
面頁冊數:	1 online resource (366 p.) :ill. (some col.)
附註:	Revised edition of Market microstructure in practice, [2014]
標題:	Capital market. -
電子資源:	https://www.worldscientific.com/worldscibooks/10.1142/10739#t=toc
ISBN:	9789813231139

Market microstructure in practice
Market microstructure in practice[electronic resource] /editors, Charles-Albert Lehalle, Sophie Laruelle. - 2nd ed. - Singapore :World Scientific Publishing,c2018. - 1 online resource (366 p.) :ill. (some col.)

Revised edition of Market microstructure in practice, [2014]

Includes bibliographical references (p. 331-336) and index.

"This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the "Flash Crash" of 2010 are also analyzed in depth. Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently. This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation). As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms. In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure. Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms."--

Electronic reproduction.
Singapore :
World Scientific,
[2017]

ISBN: 9789813231139Subjects--Topical Terms:

598114
Capital market.

LC Class. No.: HG4523 / .M2678 2018

Dewey Class. No.: 332/.0415

Market microstructure in practice
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260 $a Singapore : $b World Scientific Publishing, $c c2018.
300 $a 1 online resource (366 p.) : $b ill. (some col.)
500 $a Revised edition of Market microstructure in practice, [2014]
504 $a Includes bibliographical references (p. 331-336) and index.
520 $a "This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the "Flash Crash" of 2010 are also analyzed in depth. Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently. This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation). As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms. In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure. Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms."-- $c Provided by publisher.
533 $a Electronic reproduction. $b Singapore : $c World Scientific, $d [2017]
588 $a Description based on online resource; title from PDF title page (viewed January 11, 2018)
650 0 $a Capital market. $3 598114
650 0 $a Finance. $3 542899
650 0 $a Stock exchanges. $3 586881
700 1 $a Lehalle, Charles-Albert. $3 2089692
700 1 $a Laruelle, Sophie. $3 2089693
856 4 0 $u https://www.worldscientific.com/worldscibooks/10.1142/10739#t=toc