eBook Market Microstructure In Practice, 1st Edition

  • Published By: World Scientific Publishing Company
  • ISBN-10: 9814566179
  • ISBN-13: 9789814566179
  • DDC: 332.0415
  • Grade Level Range: College Freshman - College Senior
  • 332 Pages | eBook
  • Original Copyright 2013 | Published/Released December 2014
  • This publication's content originally published in print form: 2013
  • Price:  Sign in for price



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. The emergence of high frequency trading and critical events like the Flash Crash of 2010 are also analyzed in depth. Edited by Charles-Albert Lehalle and Sophie Laruelle, and with contributions from Romain Burgot, St’phanie 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 mathematical Appendix details the quantitative tools and indicators used throughout the book, allowing the reader to go further on his own.

Table of Contents

Front Cover.
Half Title Page.
Title Page.
Copyright Page.
About the Editors.
About the Contributors.
1: Monitoring the Fragmentation at Any Scale.
2: Understanding the Stakes and the Roots of Fragmentation.
3: Optimal Organisations for Optimal Trading.
Appendix A: Quantitative Appendix.
Appendix B: Glossary.