Market Microstructure: Confronting Many Viewpoints

Frédéric Abergel; Jean Philippe Bouchaud; Thierry Foucault; Charles Albert Lehalle; Mathieu Rosenbaum

doi:10.1002/9781118673553

Market Microstructure: Confronting Many Viewpoints

Frédéric Abergel
, Jean Philippe Bouchaud
, Thierry Foucault
, Charles Albert Lehalle
, Mathieu Rosenbaum

École Polytechnique

Ecole Centrale Paris
CFM
Ecole Polytechnique
Hec Paris Paris
Banque de France
ESSEC Business School
Sorbonne Université
École Polytechnique
ENSAE

Research output: Book/Report › Book › peer-review

Abstract

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.

Original language	English
Publisher	wiley
Number of pages	238
ISBN (Electronic)	9781118673553
ISBN (Print)	9781119952411
DOIs	https://doi.org/10.1002/9781118673553
Publication status	Published - 1 Jan 2013

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Market Microstructure: Confronting Many Viewpoints

Abstract

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