Market Microstructure (BOK)

Frederic Abergel

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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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2012 Forfatter Frederic Abergel
Forlag
Wiley
ISBN 9781119952411
Antall sider 254 Dimensjoner 15,9cm x 23,6cm x 3,2cm
Vekt 522 gram Leverandør Bertram Trading Ltd
Andre medvirkende Charles-Albert Lehalle, Frederic Abergel, Jean-Philippe Bouchaud, Mathieu Rosenbaum, Thierry Foucault Emner og form Investment & securities