Market Microstructure In Practice (Hardcover)

Sophie Laruelle

22 valoraciones de Goodreads

Idioma: inglés

Editorial: World Scientific Publishing Co Pte Ltd, Singapore, 2018

9813231122 / 9789813231122

Serie: Libro 1 de 4 - Money Banking Investments Fina

Librería: AussieBookSeller, Truganina, VIC, AustraliaAussieBookSeller

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Vendedor de IberLibro desde 22 de junio de 2007

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Descripción del artículo del vendedor

Hardcover. This book exposes and 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 explains 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 independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms. Revised edition of Market microstructure in practice, [2014] Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.…

N° de ref. del artículo 9789813231122

Título
Market Microstructure In Practice (Hardcover)
Autor
Sophie Laruelle
Editorial
World Scientific Publishing Co Pte Ltd, Singapore
Año de publicación
2018
Estado
new
Encuadernación
Hardcover
Idioma
inglés
ISBN 10
9813231122
ISBN 13
9789813231122
Edición
2ª Edición
Serie
Libro 1 de 4: Money Banking Investments Fina

AussieBookSeller

Truganina, VIC, Australia

Vendedor de 5 estrellas

Vendedor de IberLibro desde 22 de junio de 2007

Tarifas de envío de Australia a Estados Unidos de America

ArtículoDe 25 a 45 días hábilesDe 8 a 14 días hábiles
Primer artículoEUR 33,03EUR 39,28
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Truganina, VIC Australia 3029