Market microstructure [electronic resource] : confronting many viewpoints / edited by Frédéric Abergel [and others]
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 wi...
Saved in:
| Online Access: |
Full Text (via Wiley) |
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| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, N.J. :
Wiley,
2012.
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| Series: | Wiley finance series.
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| Subjects: |
| Summary: | 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. |
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| Physical Description: | 1 online resource. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781119952787 1119952786 9781119952770 1119952778 9781119952794 1119952794 9781118673553 1118673557 1119952417 9781119952411 |
| Source of Description, Etc. Note: | Source of description: Print version record and CIP data provided by publisher. |