ISBN 13 : 978-1107156050

Contents :
Preface

Part I. How and Why Do Prices Move?:
1. The ecology of financial markets
2. The statistics of price changes: an informal primer

Part II. Limit Order Books: Introduction:
3. Limit order books
4. Empirical properties of limit order books

Part III. Limit Order Books: Models:
5. Single-queue dynamics: simple models
6. Single-queue dynamics for large-tick stocks
7. Joint-queue dynamics for large-tick stocks
8. The Santa Fe model for limit order books

Part IV. Clustering and Correlations:
9. Time clustering and Hawkes processes
10. Long-range persistence of order flow

Part V. Price Impact:
11. The impact of market orders
12. The impact of metaorders

Part VI. Six Market Dynamics at the Micro-scale:
13. The propagator model
14. Generalised propagator models

Part VII. Adverse Selection and Liquidity Provision:
15. The Kyle model
16. The determinants of the bid–ask spread
17. The profitability of market making

Part VIII. Market Dynamics at the Meso-scale:
18. Latent liquidity and Walrasian auctions
19. Impact dynamics in a continuous-time double auction
20. The information content of prices

Part IX. Practical Consequences:
21. Optimal execution
22. Market fairness and stability
23. Appendices
Index

Language : English

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque