High Frequency Trading and Limit Order Book Dynamics

Business & Finance
Cover of the book High Frequency Trading and Limit Order Book Dynamics by , Taylor and Francis
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: ISBN: 9781317570769
Publisher: Taylor and Francis Publication: April 14, 2016
Imprint: Routledge Language: English
Author:
ISBN: 9781317570769
Publisher: Taylor and Francis
Publication: April 14, 2016
Imprint: Routledge
Language: English

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics.

This book was originally published as a special issue of European Journal of Finance.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics.

This book was originally published as a special issue of European Journal of Finance.

More books from Taylor and Francis

Cover of the book The Social History of Post-Communist Russia by
Cover of the book Opposition and Legitimacy in the Ottoman Empire by
Cover of the book The Minor Marshallians and Alfred Marshall by
Cover of the book Collective Decision Making by
Cover of the book Managing Teams in Secondary Schools by
Cover of the book Governing the World? by
Cover of the book Growth and Fluctuations 1870-1913 (Routledge Revivals) by
Cover of the book Death and the Early Modern Englishwoman by
Cover of the book Urban Informalities by
Cover of the book Teaching at Post-16 by
Cover of the book New Technologies and the Firm by
Cover of the book Economic Theory and Policy amidst Global Discontent by
Cover of the book Homes of the London Poor and the Bitter Cry of Outcast London by
Cover of the book Networking the Rule of Law by
Cover of the book The Mediterranean Tradition in Economic Thought by
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy