Market microstructure in practice:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
[2013]
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references and index Introduction -- 1. Monitoring the fragmentation at any scale. 1.1. Fluctuations of market shares: a first graph on liquidity. 1.2. Smart order routing (SOR), a structural component of European price formation process. 1.3. still looking for the optimal tick size. 1.4. Can we see in the dark? -- 2. Understanding the stakes and the roots of fragmentation. 2.1. From intraday market share to volume curves: some stationarity issues. 2.2. Does more liquidity guarantee a better market share? A little story about the European bid-ask spread. 2.3. The agenda of high frequency traders: how do they extend their universe? 2.4. The link between fragmentation and systemic risk -- 3. Optimal organisations for optimal trading. 3.1. Organising a trading structure to answer to a fragmented landscape. 3.2. Market impact measurements: understanding the price formation process from the viewpoint of one investor. 3.3. Optimal trading methods Market Microstructure in Practice 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 will help students, academics, regulators, policy makers, and practitioners understand 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 on his own |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9789814566179 9814566179 9789814566162 9814566160 |
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Datensatz im Suchindex
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|---|---|
| any_adam_object | |
| author | Lehalle, Charles-Albert |
| author_facet | Lehalle, Charles-Albert |
| author_role | aut |
| author_sort | Lehalle, Charles-Albert |
| author_variant | c a l cal |
| building | Verbundindex |
| bvnumber | BV042966482 |
| collection | ZDB-4-EBA ZDB-4-EBU |
| ctrlnum | (OCoLC)864899046 (DE-599)BVBBV042966482 |
| dewey-full | 332/.0415 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.0415 |
| dewey-search | 332/.0415 |
| dewey-sort | 3332 3415 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Lehalle, Charles-Albert Verfasser aut Market microstructure in practice Charles-Albert Lehalle (Capital Fund Management, France) & Sophie Laruelle (Universite Paris-Est Creteil, France) New Jersey World Scientific [2013] 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references and index Introduction -- 1. Monitoring the fragmentation at any scale. 1.1. Fluctuations of market shares: a first graph on liquidity. 1.2. Smart order routing (SOR), a structural component of European price formation process. 1.3. still looking for the optimal tick size. 1.4. Can we see in the dark? -- 2. Understanding the stakes and the roots of fragmentation. 2.1. From intraday market share to volume curves: some stationarity issues. 2.2. Does more liquidity guarantee a better market share? A little story about the European bid-ask spread. 2.3. The agenda of high frequency traders: how do they extend their universe? 2.4. The link between fragmentation and systemic risk -- 3. Optimal organisations for optimal trading. 3.1. Organising a trading structure to answer to a fragmented landscape. 3.2. Market impact measurements: understanding the price formation process from the viewpoint of one investor. 3.3. Optimal trading methods Market Microstructure in Practice 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 will help students, academics, regulators, policy makers, and practitioners understand 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 on his own BUSINESS & ECONOMICS / Finance bisacsh Capital market fast Finance fast Stock exchanges fast Wirtschaft Capital market Finance Stock exchanges Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 gnd rswk-swf Börsenkurs (DE-588)4375974-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Wertpapierhandel (DE-588)4189707-9 s Börsenkurs (DE-588)4375974-9 s 1\p DE-604 Laruelle, Sophie Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=670629 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Lehalle, Charles-Albert Market microstructure in practice BUSINESS & ECONOMICS / Finance bisacsh Capital market fast Finance fast Stock exchanges fast Wirtschaft Capital market Finance Stock exchanges Kreditmarkt (DE-588)4073788-3 gnd Wertpapierhandel (DE-588)4189707-9 gnd Börsenkurs (DE-588)4375974-9 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4189707-9 (DE-588)4375974-9 |
| 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 (Capital Fund Management, France) & Sophie Laruelle (Universite Paris-Est Creteil, France) |
| title_fullStr | Market microstructure in practice Charles-Albert Lehalle (Capital Fund Management, France) & Sophie Laruelle (Universite Paris-Est Creteil, France) |
| title_full_unstemmed | Market microstructure in practice Charles-Albert Lehalle (Capital Fund Management, France) & Sophie Laruelle (Universite Paris-Est Creteil, France) |
| title_short | Market microstructure in practice |
| title_sort | market microstructure in practice |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Capital market fast Finance fast Stock exchanges fast Wirtschaft Capital market Finance Stock exchanges Kreditmarkt (DE-588)4073788-3 gnd Wertpapierhandel (DE-588)4189707-9 gnd Börsenkurs (DE-588)4375974-9 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Capital market Finance Stock exchanges Wirtschaft Kreditmarkt Wertpapierhandel Börsenkurs |
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