Market Microstructure PDF ePub eBook

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Market Microstructure free pdf 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.

About Frederic Abergel

FREDERIC ABERGEL graduated from EcoleNormale Superieure with a PhD in Mathematics. He started anacademic career as a researcher with the CNRS. He spent ten yearsin the Mathematics department of the University of Orsay Paris XIand then switched to the capital markets industry and became aquantitative analyst. He has worked for trading floors in variousfinancial institutions, mainly in the derivatives sector,developing pricing and hedging models. He now holds the BNP ParibasChair of Quantitative Finance at Ecole Centrale Paris. Hisresearch focuses on the study of empirical properties andmathematical models of market microstructure, high frequency data,algorithmic trading.

JEAN-PHILIPPE BOUCHAUD graduated from the EcoleNormale Superieure in Paris, where he also obtained his PhD inphysics. He was then appointed by the CNRS. After a year spent inthe Cavendish Laboratory, he joined the Service de Physique del Etat Condense, where he worked on the dynamics ofglassy systems and on granular media. His work in finance includesextreme risk models, agent based simulations, market microstructureand price formation. He went on to found the company Science

Details Book

Author : Frederic Abergel
Publisher : John Wiley
Data Published : 13 April 2012
ISBN : 1119952417
EAN : 9781119952411
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 254 pages
Age + : 15 years
Language : English
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    Reading Books For Free. 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 Bachelie