Market microstructure in practice /
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. The emergence of high frequency trading and critical events like the "Flash Crash" of 201...
| Основен автор: | Lehalle, Charles-Albert. |
|---|---|
| Други автори: | Laruelle, Sophie. |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
New Jersey :
World Scientific,
[2013]
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=670629 |
| Подобни документи: |
Print version::
Market microstructure in practice |
Съдържание:
- Introduction
- 1. Monitoring the fragmentation at any scale. 1.1. Fluctuations of market shares: a first graph on liquidity. 1.2. Smart order routing (SOR), a structural component of European price formation process. 1.3. still looking for the optimal tick size. 1.4. Can we see in the dark?
- 2. Understanding the stakes and the roots of fragmentation. 2.1. From intraday market share to volume curves: some stationarity issues. 2.2. Does more liquidity guarantee a better market share? A little story about the European bid-ask spread. 2.3. The agenda of high frequency traders: how do they extend their universe? 2.4. The link between fragmentation and systemic risk
- 3. Optimal organisations for optimal trading. 3.1. Organising a trading structure to answer to a fragmented landscape. 3.2. Market impact measurements: understanding the price formation process from the viewpoint of one investor. 3.3. Optimal trading methods.