Market Microstructure in Practice
| Author | : | |
| Rating | : | 4.58 (935 Votes) |
| Asin | : | 9814566160 |
| Format Type | : | paperback |
| Number of Pages | : | 332 Pages |
| Publish Date | : | 2014-11-01 |
| Language | : | English |
DESCRIPTION:
It reviews institutional changes, discusses them, and provides color through real-world examples." -- Albert J Menkveld, Professor of Finance at VU University Amsterdam & Research Fellow at TI-Duisenberg School of Finance"Today, there is so much confusion on the actual functioning of capital markets, the impact of regulation, MiFiD in Europe and Reg NMS in the US, on market fragmentation and liquidity, the role of dark pools, of high-frequency traders in providing liquidity and bridging fragmented trading platforms. Through detailed definitions and clarifications of the different roles of participants in the markets (lit as well as dark), the authors help the reader to navigate the complexity of European financial markets. There is nothing else out there like it, and this book wi
Good and up-to-date reference on fragmentation and challenges for institutional investors M. Carreira The good:Deals with reality of electronic and fragmented markets: Liquidity estimate from pre-trade transparency is not deterministic.A balanced look at fragmentation (Europe), a careful study of liquidity beyond bid-ask spreads, tick sizes and competition.HFT seen as business model and part of fragmented system, with positive and negative consequences (not as moral judgement).Good studies with real data from Cheuvreaux; coverage is quite up-to-date (5/9)The bad:Coverage of fragmentation in the US is sparse; not much about behaviour in ms or secondsThe ugly:Problems with charts:. Wonderful book Tracey This is a really enlightening book - providing practical insight into micro-structure and optimal trading. It's full of good, lively examples and is accessible to a wide audience, market participants and those curious about the often murky world of trading. Highly recommended.. A must-read Delpacho This is a must read for people working on electronic market making, execution algo, quant trading This book is quiet unique in its genre and provide a real insight on how price formation occurs and about the state of electronic trading nowadays. The focus is highly on fragmentation but people working on a market that is not fragmented will still find some interesting content.Charles-Albert Lehalle has the buy and sell side practitioner experience that most of people writing books/articles on this subject do not have.
The emergence of high frequency trading and critical events like the Flash Crash of 2010 are also analyzed in depth. Market Microstructure in Practice 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. Readership: Students, academics, researchers, finance professionals, regulators and policy makers interested in public markets, exchange and securities.. Edited by Charles-Albert Lehalle and Sophie Laruelle, and with contributions from Romain Burgot, Stéphanie Pelin and Matthieu Lasnier, this book uses a quantitative viewpoint to help students, academics, regulators, policy makers, and practitioners understand how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematic
Currently Senior Research Manager at Capital Fund Management (CFM), Charles-Albert Lehalle is an international expert in market microstructure and optimal trading. Currently Assistant Professor at Universite Paris-Est Creteil (UPEC), Sophie Laruelle defended her PhD in December 2011 under the supervision of Gilles Pages on analysis of stochastic algorithms applied to