Market Microstructure

Fr&e'd&e'ric Abergel 지음

Wiley 2012년 04월 03일 출간

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The latest cutting-edge research on market microstructureBased 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 quot;stylized factsquot; 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.

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IntroductionAbout the EditorsPART I ECONOMIC MICROSTRUCTURE THEORY1 Algorithmic Trading: Issues and Preliminary EvidenceThierry Foucault1.1 Introduction1.2 What is algorithmic trading?1.2.1 Definition and typology1.2.2 Scope and profitability1.3 Market structure and algorithmic trading1.4 Costs and benefits of algorithmic trading1.4.1 Algorithmic trading reduces search costs1.4.2 Algorithmic trading has an ambiguous effect on adverse selection costs1.4.3 Algorithmic trading and price discovery1.4.4 Welfare effects1.4.5 Algorithmic trading as a source of risk1.5 Empirical evidence1.5.1 Algorithmic trading and market liquidity1.5.2 Algorithmic trading and volatility1.5.3 Algorithmic trading and price discovery1.5.4 Algorithmic trading and market stability1.6 ConclusionsAppendixAcknowledgmentReferences2 Order Choice and Information in Limit Order Markets 41Ioanid Roᶊu2.1 Introduction2.2 Order choice with symmetric information2.3 Order choice with asymmetric information2.4 The information content of orders2.5 Questions for future researchReferencesPART II HIGH FREQUENCY DATA MODELING3 Some Recent Results on High Frequency CorrelationNicolas Huth and Fr&e'd&e'ric Abergel3.1 Introduction3.2 Data description3.3 Multivariate event time3.3.1 Univariate case3.3.2 Multivariate case3.3.3 Empirical results3.4 High frequency lead/lag3.4.1 The Hayashi&n-Yoshida cross-correlation function3.4.2 Empirical results3.5 Intraday seasonality of correlation3.5.1 Empirical results3.6 ConclusionAcknowledgmentReferences4 Statistical Inference for Vola

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저자(글) Fr&e'd&e'ric Abergel

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FRE'DE'RIC ABERGEL graduated from E'cole Normale Supe'rieure with a PhD in Mathematics. He started an academic career as a researcher with the CNRS. He spent ten years in the Mathematics department of the University of Orsay Paris XI and then switched to the capital markets industry and became a quantitative analyst. He has worked for trading floors in various financial institutions, mainly in the derivatives sector, developing pricing and hedging models. He now holds the BNP Paribas Chair of Quantitative Finance at E'cole Centrale Paris. His research focuses on the study of empirical properties and mathematical models of market microstructure, high frequency data, algorithmic trading.JEAN-PHILIPPE BOUCHAUD graduated from the E'cole Normale Supe'rieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS. After a year spent in the Cavendish Laboratory, he joined the Service de Physique de l'Etat Condense', where he worked on the dynamics of glassy systems and on granular media. His work in finance includes extreme risk models, agent based simulations, market microstructure and price formation. He went on to found the company Science Finance that merged with Capital Fund Management. He is now the President and Head of Research at CFM, and professor at E'cole Polytechnique. He has published over 250 scientific papers and several books in physics and in finance.THIERRY FOUCAULT is Professor of Finance at HEC, Paris where he received his PhD in Finance. He is a research fellow of the Centre for Economic Policy. His research focuses on the determinants of financial markets liquidity and the industrial organization of the securities industry. His work has been published in top-tier scientific journals, including the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. He acts as co-edi