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48 reviews 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.Content:
Chapter 1 Algorithmic Trading: Issues and Preliminary Evidence (pages 1–40): Thierry Foucault
Chapter 2 Order Choice and Information in Limit Order Markets (pages 41–60): Ioanid Rosu
Chapter 3 Some Recent Results on High Frequency Correlation (pages 61–86): Nicolas Huth and Frederic Abergel
Chapter 4 Statistical Inference for Volatility and Related Limit Theorems (pages 87–112): Nakahiro Yoshida
Chapter 5 Models for the Impact of All Order Book Events (pages 113–135): Zoltan Eisler, Jean?Philippe Bouchaud and Julien Kockelkoren
Chapter 6 Limit Order Flow, Market Impact, and Optimal Order Sizes: Evidence from NASDAQ TotalView?ITCH Data (pages 137–161): Nikolaus Hautsch and Ruihong Huang
Chapter 7 Collective Portfolio Optimization in Brokerage Data: The Role of Transaction Cost Structure (pages 171–186): Damien Challet and David Morton de Lachapelle
Chapter 8 Optimal Execution of Portfolio Transactions with Short?Term Alpha (pages 187–211): Adriana M. Criscuolo and Henri Waelbroeck
