Market Microstructure

Market Microstructure in Practice  

Posted by interes at May 12, 2014
Market Microstructure in Practice

Market Microstructure in Practice by Charles-Albert Lehalle and Sophie Laruelle
English | 2013 | ISBN: 9814566160 | 332 pages | PDF | 5,6 MB

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.
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by Greg N. Gregoriou
English | 2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Greg N. Gregoriou, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures"
M/a.c,m an | 2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Market Microstructure: Confronting Many Viewpoints (Repost)

Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Charles-Albert Lehalle, Mathieu Rosenbaum, "Market Microstructure: Confronting Many Viewpoints"
2012 | ISBN: 1119952417 | English | 254 pages | PDF | 5.50 MB
Financial Econometrics and Empirical Market Microstructure (repost)

Financial Econometrics and Empirical Market Microstructure by Anil K. Bera and Sergey Ivliev
English | 2014 | ISBN: 3319099450 | 284 pages | PDF | 8,5 MB
Information and Learning in Markets: The Impact of Market Microstructure (Repost)

Information and Learning in Markets: The Impact of Market Microstructure by Xavier Vives
English | 2008 | ISBN: 0691127433 | 590 Pages | PDF | 3 MB

The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set.
Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure by Anil K. Bera and Sergey Ivliev
English | 2014 | ISBN: 3319099450 | 284 pages | PDF | 8,5 MB
Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context

Gilles Dufrenot, "Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context"
English | ISBN: 331905211X | 2014 | 328 pages | PDF | 5 MB
Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading

Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading by Joel Hasbrouck
Oxford University Press | January 4, 2007 | English | ISBN: 0195301641 | 208 pages | PDF | 2 MB

The book discusses the mechanisms by which securities are traded, as well as examining economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by Greg N. Gregoriou
English | 2011 | ISBN: 0230283624 | PDF | 224 pages | 3 MB