Market microstructure : confronting many viewpoints - Abergel, Frederic (Hoboken, New Jersey : Wiley, 2012)
1. Algorithmic trading: issues and preliminary evidence -- 2. Order choice and information in limit order markets -- 3. Some recent results on high frequency correlation -- 4. Statistical inference for volatility and related limit theorems -- 5. Models for the impact of all order book events -- 6. Limit order flow, market impact, and optimal order sizes: evidence from NASDAQ TotalView-ITCH data -- 7. Collective portfolio optimization in brokerage data: the role of transaction cost structure -- 8. Optimal execution of portfolio transactions with short-term alpha
Includes bibliographical references (p. [213]-225) and index
Keywords: Microfinance; Securities; Securities -- Prices; Stock exchanges