Download or read book The Microstructure of Financial Markets written by Frank de Jong and published by Cambridge University Press. This book was released on 2009-05-14 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Download or read book An Introduction to the Microstructure of Emerging Markets written by Jack D. Glen and published by World Bank Publications. This book was released on 1994-01-01 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: IFC Discusssion Paper No. 24. Investors' interest in emerging markets has grown significantly in recent years because of potential high returns and the benefits of diversification. Despite this increased activity, there remains little information o
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Download or read book Statistical Analysis of Microstructures in Materials Science written by Joachim Ohser and published by John Wiley & Sons. This book was released on 2000-12-19 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investigation of the origin and formation of microstructures and the effect that microstructure has on the properties of materials are important issues in materials science and technology. Geometrical analysis is often the key to understanding the formation of microstructures and the resulting material properties. The authors make use of mathematical morphology, spatial statistics, image processing, stereology and stochastic geometry to analyze microstructures arising in materials science. * Quantitative microstructure analysis is one of the most successful experimental techniques in materials science * Uses examples to demonstrate the techniques * Program code included enables the reader to apply the numerous algorithms * Accessible to material scientists with limited statistical knowledge Primarily aimed at applied materials scientists, the book will also appeal to those working and researching in earth sciences, material technology, mineralogy, petrography, image analysis, cytology and biology.
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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 "stylized facts" 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.
Download or read book Market Microstructure In Practice Second Edition written by Charles-albert Lehalle and published by World Scientific. This book was released on 2018-01-18 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the'Flash Crash' of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.
Download or read book Random Heterogeneous Materials written by Salvatore Torquato and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible text presents a unified approach of treating the microstructure and effective properties of heterogeneous media. Part I deals with the quantitative characterization of the microstructure of heterogeneous via theoretical methods; Part II treats a wide variety of effective properties of heterogeneous materials and how they are linked to the microstructure, accomplished by using rigorous methods.
Download or read book Information and Learning in Markets written by Xavier Vives and published by Princeton University Press. This book was released on 2010-01-25 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures. Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices. Provides the most complete analysis of the ways markets aggregate information Bridges the gap between the rational expectations and herding literatures Includes exercises with solutions Serves both as a graduate textbook and a resource for researchers, including financial analysts
Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Download or read book Superalloys 2024 written by Jonathan Cormier and published by Springer Nature. This book was released on with total page 1121 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trades Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Download or read book Stability of Microstructure in Metallic Systems written by J. W. Martin and published by Cambridge University Press. This book was released on 1997-03-06 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this textbook, popular amongst students and faculty alike, investigates the various causes of thermodynamic instability in metallic microstructures. Materials theoretically well designed for a particular application may prove inefficient or even useless unless stable under normal working conditions. The authors examine current experimental and theoretical understanding of the kinetics behind structural change in metals. The entire text has been updated in this new edition, and a completely new chapter on highly metastable alloys has been added. The degree to which kinetic stability of the material outweighs its thermodynamic instability is very important, and dictates the useful working life of the material. If the structure is initially produced to an optimum, such changes will degrade the properties of the material. This comprehensive and well-illustrated text, accompanied by ample references, will allow final year undergraduates, graduate students and research workers to investigate in detail the stability of microstructure in metallic systems.
Download or read book Microstructure Sensitive Design for Performance Optimization written by Brent L. Adams and published by Butterworth-Heinemann. This book was released on 2012-12-31 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accelerating rate at which new materials are appearing, and transforming the engineering world, only serves to emphasize the vast potential for novel material structure and related performance. Microstructure Sensitive Design for Performance Optimization (MSDPO) embodies a new methodology for systematic design of material microstructure to meet the requirements of design in optimal ways. Intended for materials engineers and researchers in industry, government and academia as well as upper level undergraduate and graduate students studying material science and engineering, MSDPO provides a novel mathematical framework that facilitates a rigorous consideration of the material microstructure as a continuous design variable in the field of engineering design. - Presents new methods and techniques for analysis and optimum design of materials at the microstructure level - Authors' methodology introduces spectral approaches not available in previous texts, such as the incorporation of crystallographic orientation as a variable in the design of engineered components with targeted elastic properties - Numerous illustrations and examples throughout the text help readers grasp the concepts
Download or read book Steels written by Robert William Kerr Honeycombe and published by John Wiley & Sons. This book was released on 1996-02-12 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: The properties of steels depend critically on their microstructure. By examining the mechanical properties of steels in conjunction with microstructure, the first edition gave a clear description of the development and behavior of these materials - the very foundation of their widespread use. This new edition more explicitly links this theory with applications while retaining the style and purpose of its predecessor.
