Market microstructure in practice:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
New Jersey [u.a.]
World Scientific
2014
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XXV, 305 S. Ill., graph. Darst. |
| ISBN: | 9789814566162 |
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MARC
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| 020 | |a 9789814566162 |9 978-981-4566-16-2 | ||
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| 035 | |a (DE-599)BVBBV041424784 | ||
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| 041 | 0 | |a eng | |
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| 245 | 1 | 0 | |a Market microstructure in practice |c Charles-Albert Lehalle ... |
| 264 | 1 | |a New Jersey [u.a.] |b World Scientific |c 2014 | |
| 300 | |a XXV, 305 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Capital market | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Stock exchanges | |
| 650 | 0 | 7 | |a Börsenkurs |0 (DE-588)4375974-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wertpapierhandel |0 (DE-588)4189707-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 0 | 1 | |a Wertpapierhandel |0 (DE-588)4189707-9 |D s |
| 689 | 0 | 2 | |a Börsenkurs |0 (DE-588)4375974-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Lehalle, Charles-Albert |e Sonstige |4 oth | |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026871773&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-026871773 | ||
Record in the Search Index
| _version_ | 1804151543835918336 |
|---|---|
| adam_text | Contents
About the Editors
v
About the Contributors
vii
Foreword by
xv
Robert
Almgren
........................ xv
Bertrand Patillet
........................ xvi
Philippe Guillot
........................ xvii
Albert J. Menkveld
...................... xix
Preface by
xxi
Charles-Albert Lehalle
.................... xxi
Sophie Laruelle
........................ xxiv
Introduction
1
1.
Monitoring the Fragmentation at Any Scale
29
1.1
Fluctuations of Market Shares: A First Graph
on Liquidity
....................... 29
1.1.1
The market share: A not so obvious liquidity
metric
....................... 29
1.1.2
Phase
1:
First attempts of fragmentation
... 34
1.1.3
Phase
2:
Convergence towards a European
offer
........................ 44
1.1.4
Phase
3:
Apparition of broker crossing
networks and Dark Pools
........... 49
1.2
Smart Order Routing
(SOR), A
Structural Component
of European Price Formation Process
......... 56
ix
x
Market
Microstructure
in Practice
1.2.1
How to route orders in a fragmented market?
56
1.2.2
Fragmentation is a consequence of primary
markets variance
................ 64
1.3
Still Looking for the Optimal Tick Size
........ 67
1.3.1
Why does tick size matter?
........... 67
1.3.2
How tick size affects market quality
..... 70
1.3.3
How can tick size be used by trading venue to
earn market share?
............... 84
1.3.4
How does tick size change the profitability of
the various participants in the market?
.... 90
1.3.5
The value of a quote
.............. 92
1.4
Can We See in the Dark?
................ 94
1.4.1
Mechanism of dark liquidity pools
...... 95
1.4.2
In-depth analysis of dark liquidity
...... 97
2.
Understanding the Stakes and the Roots of Fragmentation
109
2.1
From Intraday Market Share to Volume Curves:
Some Stationarity Issues
................ 109
2.1.1
Inventory-driven investors need fixing
auctions
.....................
Ill
2.1.2
Timing is money: Investors need to trade
accordingly
................... 121
2.1.3
Fragmentation and the evolution of intraday
volume patterns
................. 131
2.2
Does More Liquidity Guarantee a Better Market
Share? A Little Story About the European Bid-Ask
Spread
.......................... 134
2.2.1
The bid-ask spread and volatility move
accordingly
................... 136
2.2.2
Bid-ask spread and market share are deeply
linked
....................... 139
2.2.3
Exchanges need to show volatility-resistance
142
2.3
The Agenda of High Frequency Traders: How Do
They Extend their Universe?
.............. 144
Contents xi
2.3.1
Metrics for the balance in liquidity among
indexes
...................... 145
2.3.2
A history of coverage
.............. 147
2.3.3
High-frequency traders do not impact all
investors equally
................ 149
2.4
The Link Between Fragmentation and Systemic Risk
155
2.4Л
The Spanish experiment
............ 155
2.4.2
Volatility, cross-stock correlation, intraday,
extraday
..................... 160
2.4.3
The Flash Crash (May 6th,
2010)
in NY: How
far are we from systemic risk?
......... 173
3.
Optimal Organisations for Optimal Trading
185
ЗЛ
Organising a Trading Structure to Answer
to a Fragmented Landscape
.............. 185
3.1.1
Main inputs of trading tools
.......... 186
ЗЛ.2
Components of trading algorithms
...... 189
3.1.3
Main outputs of an automated trading system
190
3.2
Market Impact Measurements: Understanding the
Price Formation Process from the Viewpoint of One
Investor
.......................... 195
3.2.1
Better understanding on what impacts
the price
..................... 196
3.2.2
Market impact over the trading period
.... 197
3.2.3
Market impact on a longer horizon: Different
patterns for different investment styles
.... 200
3.2.4
Dependence between investment style and
market impact on a monthly horizon
..... 203
3.3
Optimal Trading Methods
............... 205
3.3.1
Algorithmic trading: Adapting trading style
to investors needs
............... 205
3.3.2
Liquidity seeking algorithms are no longer
nice to have
................... 210
Appendix A: Quantitative Appendix
221
A.I From Entropy to
FEI
(Fragmentation Efficiency
Index)
......................... 221
xii
Market
Microstructure
in Praäice
A.2 Information Seeking and Price Discovery
..... 225
A.3 A Simple Model Explaining the Natural
Fragmentation of Market
Microstructure
..... 229
A.3.1 A toy model of
SOR
dynamics
... 229
A.3.2 A toy model of the impact of
SOR
activity on the market shares
.... 231
A.3.3 A coupled model of SOR-market
shares dynamics
........... 232
A.3.4 Simulations
.............. 232
A.3.5 Qualitative analysis
......... 233
A.4 A Toy Model of the Flash Crash
........... 235
A.4.1 A market depth-oriented model
. . 235
A.4.2 Impact of the Flash Crash on our
model
................. 237
A.5 Harris Model: Underlying Continuous Spread
Discretized by Tick
.................. 240
Motivation and notations
......... 240
Numerical application
........... 243
A.6 Optimal Trade Scheduling
.............. 247
A.6.1 The trading model
.......... 248
A.6.2 Towards a mean-variance optimal
trade scheduling
........... 249
A.7 Estimation of Proportion and its Confidence
Intervals
........................ 255
A.
7.1
Application to the estimation of the
market share of venues on an asset
256
A.7.2 Aggregation or application to the
market share on an index
...... 256
A.7.3 Comparison of the estimators
. . . 257
A.8
Gini
Coefficient and Kolmogorov-Smirnov Test
. . 259
A.8.1
Gini
coefficient
............ 259
A.8.2 Kolmogorov-Smirnov test
..... 260
A.8.3 Practical implementation
...... 261
A.9 Simple Linear Regression Model
.......... 264
A.9.1 Model presentation
......... 265
A.9.2 Application to relation between
spread and volatility
........ 266
Contents xiii
АЛО
Time Series and Seasonalities
............ 270
АЛ0Л
Introduction to time series
..... 270
А Л
0.2
Example of volume model
..... 274
АЛ1
Clusters of Liquidity
................. 276
АЛ1Л
Introduction to point processes
. . 276
А Л
1.2
One-dimensional Ha wkes processes
279
АЛ2
Signature Plot and Epps Effect
........... 283
АЛ2Л
Volatility and signature plot
.... 283
А Л
2.2
Correlation and Epps effect
.... 284
АЛЗ
Averaging Effect
.................... 286
А.13Л
Mean versus path
.......... 286
A.I
3.2
Regression of average quantities
versus mean of the regressions
. . 286
Appendix B: Glossary
289
Bibliography
297
Index
303
|
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| bvnumber | BV041424784 |
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| ctrlnum | (OCoLC)891099621 (DE-599)BVBBV041424784 |
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| id | DE-604.BV041424784 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:56:30Z |
| institution | BVB |
| isbn | 9789814566162 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026871773 |
| oclc_num | 891099621 |
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| owner | DE-521 DE-473 DE-BY-UBG |
| owner_facet | DE-521 DE-473 DE-BY-UBG |
| physical | XXV, 305 S. Ill., graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | World Scientific |
| record_format | marc |
| spelling | Market microstructure in practice Charles-Albert Lehalle ... New Jersey [u.a.] World Scientific 2014 XXV, 305 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Capital market Finance Stock exchanges Börsenkurs (DE-588)4375974-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Wertpapierhandel (DE-588)4189707-9 s Börsenkurs (DE-588)4375974-9 s DE-604 Lehalle, Charles-Albert Sonstige oth Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026871773&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Market microstructure in practice Capital market Finance Stock exchanges Börsenkurs (DE-588)4375974-9 gnd Kreditmarkt (DE-588)4073788-3 gnd Wertpapierhandel (DE-588)4189707-9 gnd |
| subject_GND | (DE-588)4375974-9 (DE-588)4073788-3 (DE-588)4189707-9 |
| title | Market microstructure in practice |
| title_auth | Market microstructure in practice |
| title_exact_search | Market microstructure in practice |
| title_full | Market microstructure in practice Charles-Albert Lehalle ... |
| title_fullStr | Market microstructure in practice Charles-Albert Lehalle ... |
| title_full_unstemmed | Market microstructure in practice Charles-Albert Lehalle ... |
| title_short | Market microstructure in practice |
| title_sort | market microstructure in practice |
| topic | Capital market Finance Stock exchanges Börsenkurs (DE-588)4375974-9 gnd Kreditmarkt (DE-588)4073788-3 gnd Wertpapierhandel (DE-588)4189707-9 gnd |
| topic_facet | Capital market Finance Stock exchanges Börsenkurs Kreditmarkt Wertpapierhandel |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026871773&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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