- Tapa dura: 332 páginas
- Editor: World Scientific Publishing Company; Edición: 1 (24 de diciembre de 2013)
- Idioma: Inglés
- ISBN-10: 9814566160
- ISBN-13: 978-9814566162
- Valoración media de los clientes: Sé el primero en opinar sobre este producto
- Clasificación en los más vendidos de Amazon: nº1.125.907 en Libros en idiomas extranjeros (Ver el Top 100 en Libros en idiomas extranjeros)
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Market Microstructure in Practice (Inglés) Tapa dura – 24 dic 2013
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Descripción del producto
Lehalle and Laruelle bring [their] experience to bear on every aspect of the discussion, as well as deep quantitative understanding. The resulting book is a unique mixture of real market knowledge and theoretical explanation. There is nothing else out there like it, and this book will be a central resource for many different market participants. -- Robert Almgren "President and Cofounder of Quantitative Brokers, New York" This book provides a perspective on today's markets. 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" Charles' and Sophie's book on markets microstructure will improve our knowledge and consequently help us to tweak these potentiometers. In promoting better education, this book is at the roots of restoring trust in the markets. -- Philippe Guillot "Executive Director, Markets Directorate, Autorite des march s financiers (AMF), Paris" 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. -- Michel Crouhy "Head of Research & Development at Natixis, Paris" The title of this book reflects perfectly the intentions of the authors. Many academics treat market structure as if they are watching a football game - from the outside, commenting each player's actions and the consequences..missing the key operational points and leaving to management the final step between concepts and reality. -- Roland Bellegarde "Group Executive Vice President & Head of European Execution, NYSE Euronext, Paris"
Reseña del editor
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, Stephanie 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.Ver Descripción del producto
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Opiniones de clientes
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Opiniones de clientes más útiles en Amazon.com
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)
Coverage of fragmentation in the US is sparse; not much about behaviour in ms or seconds
Problems with charts: Fig 1.14 is not what it should be, 2.12a points cannot be distinguished as they should.
Some charts (like 2.8 b) are hard to read because they’re printed as black x dark gray lines (8/9)
Conclusion: “Market Microstructure in Practice” is worth buying for what it says and for the references
Charles-Albert Lehalle has the buy and sell side practitioner experience that most of people writing books/articles on this subject do not have.