Market microstructure : confronting many viewpoints
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, New Jersey :
Wiley ,
c2012
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| Series: | The Wiley finance series
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| 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