Abergel / Bouchaud / Foucault Market Microstructure

Confronting Many Viewpoints
1. Auflage 2012
ISBN: 978-1-119-95277-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 416 Seiten, E-Book

Reihe: Wiley Finance Series

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 guidebrings together the leading thinkers to discuss this importantfield of modern finance. It provides readers with vital insight onthe origin of the well-known anomalous "stylized facts" infinancial prices series, namely heavy tails, volatility, andclustering, and illustrates their impact on the organization ofmarkets, execution costs, price impact, organization liquidity inelectronic markets, and other issues raised by high-frequencytrading. World-class contributors cover topics including analysisof high-frequency data, statistics of high-frequency data, marketimpact, and optimal trading. This is a must-have guide forpractitioners and academics in quantitative finance.

Autoren/Hrsg.

Abergel, Frédéric

Bouchaud, Jean-Philippe

Foucault, Thierry

Lehalle, Charles-Albert

Rosenbaum, Mathieu

Inhaltsverzeichnis

Introduction
About the editors
About the contributors
Part I. Economic microstructure theory
1. Algorithmic trading: issues and preliminary evidence
T. Foucault
2. Order Choice and Information in Limit Order Markets
I. Rosu
Part II. High frequency data modeling
3. Some Recent Results on High Frequency Correlation
F. Abergel, N. Huth
Part III. Market impact
4. Models for the impact of all order book events
Z. Eisler, J.-P. Bouchaud, J. Kockelkoren
5. Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ ITCH Data
N. Hautsch, R. Huang
Part IV. Optimal trading
6. Collective portfolio optimization in brokerage data: the role of transaction cost structure
D. Challet, D. Morton del a Chappelle
7. Optimal execution of portfolio transactions with short-alpha
A. M. Criscuolo, H. Waelbroeck
Bibliography
Index

Über Autor(innen)

FRÉDÉRIC ABERGEL graduated from ÉcoleNormale Supérieure with a PhD in Mathematics. He started anacademic career as a researcher with the CNRS. He spent ten yearsin the Mathematics department of the University of Orsay Paris XIand then switched to the capital markets industry and became aquantitative analyst. He has worked for trading floors in variousfinancial institutions, mainly in the derivatives sector,developing pricing and hedging models. He now holds the BNP ParibasChair of Quantitative Finance at École Centrale Paris. Hisresearch focuses on the study of empirical properties andmathematical models of market microstructure, high frequency data,algorithmic trading.
JEAN-PHILIPPE BOUCHAUD graduated from the ÉcoleNormale Supérieure in Paris, where he also obtained his PhD inphysics. He was then appointed by the CNRS. After a year spent inthe Cavendish Laboratory, he joined the Service de Physique del'Etat Condensé, where he worked on the dynamics ofglassy systems and on granular media. His work in finance includesextreme risk models, agent based simulations, market microstructureand price formation. He went on to found the company Science &Finance that merged with Capital Fund Management. He is now thePresident and Head of Research at CFM, and professor at ÉcolePolytechnique. He has published over 250 scientific papers andseveral books in physics and in finance.
THIERRY FOUCAULT is Professor of Finance at HEC, Pariswhere he received his PhD in Finance. He is a research fellow ofthe Centre for Economic Policy. His research focuses on thedeterminants of financial markets liquidity and the industrialorganization of the securities industry. His work has beenpublished in top-tier scientific journals, including the Journal ofFinance, the Journal of Financial Economics, and the Review ofFinancial Studies. He acts as co-editor of the Review of Financeand he is an Associate Editor of the Review of Asset PricingStudies. For his research, he received awards from the EuroplaceInstitute of Finance in 2005 and 2009, the annual research prize ofthe HEC Foundation in 2006 and 2009, and the Analysis Group awardfor the best paper on Financial Markets and Institutions presentedat the 2009 Western Finance Association meetings.
CHARLES-ALBERT LEHALLE is the Head of QuantitativeResearch at CA Cheuvreux and is an international expert in optimaltrading. He published papers in international journals about theuse of stochastic control and stochastic algorithms to optimise atrading flow with respect to flexible contraints. He also authoredpapers on post trade analysis, market impact estimates andmodelling the dynamics of limit order books. He lectures at Paris 6(El Karoui) Master of Finance (École Polytechnique, ESSEC,École Normale Supérieure) and MASEF/ENSAE, and givesmaster classes in the Certificate in Quantitative Finance inLondon. He holds a PhD in Applied Mathematics and his core fieldsare stochastic processes, information theory and nonlinearcontrol.
MATHIEU ROSENBAUM gained is PhD from UniversityParis-Est. He is now Professor at University Pierre et Marie Curie(Paris 6) and École Polytechnique and is a member of the CREST(Center of Research in Economics and Statistics). His researchmainly focuses on statistical finance problems, such as marketmicrostructure modeling or designing statistical procedures forhigh frequency data. He also has research collaborations withseveral financial institutions, in particular BNP Paribas.