Market microstructure : confronting many viewpoints

Bibliographic Details
Main Author: Abergel, Frederic (Author)
Format: Book
Language:English
Published: Hoboken, New Jersey : Wiley , c2012
Series:The Wiley finance series
Subjects:
Table of Contents:
  • 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