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.
