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The Resource High frequency trading and limit order book dynamics, edited by Ingmar Nolte, Mark Salmon and Chris Adcock

High frequency trading and limit order book dynamics, edited by Ingmar Nolte, Mark Salmon and Chris Adcock

Label
High frequency trading and limit order book dynamics
Title
High frequency trading and limit order book dynamics
Statement of responsibility
edited by Ingmar Nolte, Mark Salmon and Chris Adcock
Creator
Contributor
Editor
Subject
Language
eng
Summary
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.--
Assigning source
Provided by Publisher
Cataloging source
YDXCP
http://library.link/vocab/creatorName
Nolte, Ingmar
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Salmon, Mark
  • Adcock, Chris
http://library.link/vocab/subjectName
  • Electronic trading of securities
  • Investment analysis
Label
High frequency trading and limit order book dynamics, edited by Ingmar Nolte, Mark Salmon and Chris Adcock
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Contents
1. Introduction 2. Limit order books and trade informativeness 3. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 4. A simple two-component model for the distribution of intraday returns 5. Liquidity determination in an order-driven market 6. Exchange rate determination and inter-market order flow effects 7. Permanent trading impacts and bond yields 8. High-frequency information content in end-user foreign exchange order flows 9. A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach 10. How do individual investors trade? 11. On the hidden side of liquidity 12. Price discovery in spot and futures markets: a reconsideration 13. Optimal informed trading in the foreign exchange market 14. The impact of aggressive orders in an order-driven market: a simulation approach
Control code
FIEb17637508
Dimensions
25 cm.
Extent
xii, 312 pages
Isbn
9781138829381
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)883648691
Label
High frequency trading and limit order book dynamics, edited by Ingmar Nolte, Mark Salmon and Chris Adcock
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Contents
1. Introduction 2. Limit order books and trade informativeness 3. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 4. A simple two-component model for the distribution of intraday returns 5. Liquidity determination in an order-driven market 6. Exchange rate determination and inter-market order flow effects 7. Permanent trading impacts and bond yields 8. High-frequency information content in end-user foreign exchange order flows 9. A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach 10. How do individual investors trade? 11. On the hidden side of liquidity 12. Price discovery in spot and futures markets: a reconsideration 13. Optimal informed trading in the foreign exchange market 14. The impact of aggressive orders in an order-driven market: a simulation approach
Control code
FIEb17637508
Dimensions
25 cm.
Extent
xii, 312 pages
Isbn
9781138829381
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)883648691

Library Locations

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