Microstructure and Noise in Financial Markets: Rigorous and not-so rigorous results in market microstructure - Image 1

£65.63

VDM Verlag Microstructure and Noise in Financial Markets: Rigorous and not-so rigorous results in market microstructure

Name: Microstructure and Noise in Financial Markets: Rigorous and not-so rigorous results in market microstructure
Brand: VDM Verlag
Price: 65.63 GBP
Availability: InStock

Economics

Price History & Forecast

Last 36 days • 36 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 36 days • 1 price levels

Days at Price

Price Analysis

Most common price: £66 (36 days, 100.0%)

Price range: £66 - £66

Price levels: 1 different prices over 36 days

Description

Product Description Market microstructure is a discipline studying the features of the financial markets, which are the result of deliberate design as well as economic laws and technological infrastructure. It has recently increased in importance because of the propagation of programmatic trading and the proliferation of ever more sophisticated financial fraud. My book deals with the subject of microstructure of financial markets not as a collection of miscellaneous results but as a connection between few underlying ideas. These ideas concern the formation of the bid-ask spread as a result of information asymmetry, order processing and inventory maintenance and consequent bid-ask bounce, the influence of frictions on volatility and the relationship between natural (continuous) and transaction (discrete) time. Empirical examples involve event studies of the developed (NYSE, Nasdaq) as well as emerging markets such as Russian sovereign bond market in the late 90s and Venezuelan short-term debt. About the Author Peter B. Lerner has a degree in physics from Moscow Institute of Physics & Technology. He conducted research at Los Alamos National Laboratory and Penn State authoring 60+ papers. After receiving MBA from U. Pittsburgh, he worked as energy quant. Peter holds his doctorate in Finance from Syracuse U. He lives in Ithaca, NY.

Product Specifications

Brand: VDM Verlag
Format: Paperback
ASIN: 3639140419
Category: Books > Subjects > Business, Finance & Law > Economics
Domain: Amazon UK
Release Date: 31 May 2009
Listed Since: 22 June 2009

Barcode

No barcode data available

VDM Verlag Microstructure and Noise in Financial Markets: Rigorous and not-so rigorous results in market microstructure

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Market Liquidity: Theory, Evidence, and Policy

Information and Learning in Markets: The Impact of Market Microstructure

Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context

Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book

Market Tremors: Quantifying Structural Risks in Modern Financial Markets

Quantum Markets: Physical Theory of Market Microstructure

Springer - Dynamic Markov Bridges and Market Microstructure

Information and Learning in Markets – The Impact of Market Microstructure

Quantum Markets: Physical Theory of Market Microstructure

Competition in a Consolidating Environment (Zicklin School of Business Financial Markets Series)

The Econometrics of Financial Markets

Market Microstructure In Practice (Second Edition)

Financial Trading and Investing

Financial Trading and Investing

Nonlinear Studies: In The Financial Markets And Foreign Exchange Rate

Dynamic Markov Bridges and Market Microstructure: Theory and Applications: 90 (Probability Theory and Stochastic Modelling, 90)

Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility (Wiley Finance)

Electronic vs. Floor Based Trading (Zicklin School of Business Financial Markets Series)

The New NASDAQ Marketplace (Zicklin School of Business Financial Markets Series)

The New NASDAQ Marketplace (Zicklin School of Business Financial Markets Series)

Markets with Transaction Costs: Mathematical Theory (Springer Finance)

Trades, Quotes and Prices: Financial Markets Under the Microscope

Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series)

Financial Markets Theory: Equilibrium, Efficiency and Information (Springer Finance)