Описание: A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization.
Автор: Harris, Larry (Fred V. Keenan Chair in Finance, Ma Название: Trading and Exchanges: Market Microstructure for Practitioners ISBN: 0195144708 ISBN-13(EAN): 9780195144703 Издательство: Oxford Academ Рейтинг: Цена: 11504 р. Наличие на складе: Поставка под заказ.
Описание: Talks about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. This book enables readers to learn about investors, brokers, dealers, arbitrageurs, retail traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs, crossing markets, and pink sheets.
Автор: Jong, Frank De Rindi, Barbara Название: Microstructure of financial markets ISBN: 0521687276 ISBN-13(EAN): 9780521687270 Издательство: Cambridge Academ Рейтинг: Цена: 3565 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Автор: Lyons Richard Название: The Microstructure Approach to Exchange Rates ISBN: 026262205X ISBN-13(EAN): 9780262622059 Издательство: MIT Press Рейтинг: Цена: 3506 р. Наличие на складе: Поставка под заказ.
Описание: Explains the behaviour of exchange rates using models from microstructure finance and data from electronic trading. This book focuses on the economics of financial information and on how microstructure tools help to clarify the types of information relevant to exchange rates. It contains a combination of theoretical and empirical work.
Описание: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Автор: de Jong Название: The Microstructure of Financial Markets ISBN: 0521867843 ISBN-13(EAN): 9780521867849 Издательство: Cambridge Academ Рейтинг: Цена: 8397 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Автор: Abergel Название: Market Microstructure – Confronting Many Viewpoints ISBN: 1119952417 ISBN-13(EAN): 9781119952411 Издательство: Wiley Рейтинг: Цена: 4734 р. Наличие на складе: Невозможна поставка.
Описание: 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.
Описание: 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.
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