Financial Econometrics and Empirical Market Microstructure, Anil K. Bera; Sergey Ivliev; Fabrizio Lillo

Автор: Jong, Frank De Rindi, Barbara
Название: Microstructure of financial markets
ISBN: 0521687276 ISBN-13(EAN): 9780521687270
Издательство: Cambridge Academ
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Цена: 40130.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure. With numerous end-of-chapter exercises and a companion website, the book is ideally suited for students taking graduate courses in finance as well as being a useful reference for practitioners.

Автор: Hasbrouck, Joel
Название: Empirical Market Microstructure
ISBN: 0195301641 ISBN-13(EAN): 9780195301649
Издательство: Oxford Academ
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Цена: 67590.00 T
Наличие на складе: Поставка под заказ.
Описание: The book discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.

Автор: Abergel
Название: Market Microstructure – Confronting Many Viewpoints
ISBN: 1119952417 ISBN-13(EAN): 9781119952411
Издательство: Wiley
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Цена: 43290.00 T
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.

Автор: Kronm??ller
Название: Micromagnetism and the Microstructure of Ferromagnetic Solids
ISBN: 0521120470 ISBN-13(EAN): 9780521120470
Издательство: Cambridge Academ
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Цена: 60190.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The main theme of this book is micromagnetism, microstructure and analysis of relations between characteristic properties of the hysteresis loop and microstructure. It will be of interest to researchers and graduate students in condensed matter, electrical engineering and materials science, and to industrial researchers in the electrotechnical and recording industry.

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
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Цена: 145200.00 T
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: O`Hara, Maureen
Название: Market Microstructure Theory
ISBN: 0631207619 ISBN-13(EAN): 9780631207610
Издательство: Wiley
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Цена: 32730.00 T
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Описание: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.

Автор: Prof. Dr. Lutz Johanning; Volker Fl?gel
Название: The Microstructure of European Bond Markets
ISBN: 3835004239 ISBN-13(EAN): 9783835004238
Издательство: Springer
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Цена: 65210.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The volumes outstanding in bond markets are by far larger than in equity markets. Despite this fact, most of the research on the microstructure of financial market s focuses on equity markets. This is even more surprising taking into account that (i) the microstructure of a financial market has a strong influence on its ability to allocate resources efficiently, and (ii) that the results obtained from equity markets cannot be applied to bond markets. The thesis addresses open questions related to the microstructure of bond markets and presents three empirical studies. In the first paper, a unique dataset of transactions in German federal securities is analyzed to address the question whether the historical grown structure of different coexisting trading segments - exchange trading, bilateral OTC trading, and brokered OTC trading - can be economically justified. There is evidence that the different trading segments are indeed regarded as non-interchangeable by the market participants. The second part of the thesis focuses on the price formation in customer-dealer and the interdealer bond markets by applying cointegration econometrics to a dataset of high fi-equency quotes for EMU government bonds. While the customer-dealer market is still very fragmented and intransparent, trading in the interdealer market concentrates on a smaller number of more transparent electronic trading systems like EuroMTS.

Автор: Lyons Richard
Название: The Microstructure Approach to Exchange Rates
ISBN: 026262205X ISBN-13(EAN): 9780262622059
Издательство: MIT Press
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Цена: 45150.00 T
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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.

Автор: Anil K. Bera; Sergey Ivliev; Fabrizio Lillo
Название: Financial Econometrics and Empirical Market Microstructure
ISBN: 3319352075 ISBN-13(EAN): 9783319352077
Издательство: Springer
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Цена: 74530.00 T
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Описание: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems.

Автор: Lehalle Charles-Albert
Название: Market Microstructure in Practice
ISBN: 9814566160 ISBN-13(EAN): 9789814566162
Издательство: World Scientific Publishing
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Цена: 110880.00 T
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Описание: Latest Edition: Market Microstructure in Practice (2nd Edition)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 2010 are also analyzed in depth. Edited by Charles-Albert Lehalle and Sophie Laruelle, and with contributions from Romain Burgot, St phanie Pelin and Matthieu Lasnier, this book uses a quantitative viewpoint to help students, academics, regulators, policy makers, and practitioners understand 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 throughout the book, allowing the reader to go further on his own.

Автор: de Jong
Название: The Microstructure of Financial Markets
ISBN: 0521867843 ISBN-13(EAN): 9780521867849
Издательство: Cambridge Academ
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Цена: 79200.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure. With numerous end-of-chapter exercises and a companion website, the book is ideally suited for students taking graduate courses in finance as well as being a useful reference for practitioners.

Автор: Gilles Dufr?not; Fredj Jawadi; Wa?l Louhichi
Название: Market Microstructure and Nonlinear Dynamics
ISBN: 3319343254 ISBN-13(EAN): 9783319343259
Издательство: Springer
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Цена: 121110.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed.