Topics in Market Microstructure
Seiten
2008
Vossiuspers UvA (Verlag)
978-90-5629-538-7 (ISBN)
Vossiuspers UvA (Verlag)
978-90-5629-538-7 (ISBN)
- Titel z.Zt. nicht lieferbar
- Versandkostenfrei innerhalb Deutschlands
- Auch auf Rechnung
- Verfügbarkeit in der Filiale vor Ort prüfen
- Artikel merken
Market microstructure is a study of the processes through which the investors' predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attract
Market microstructure is a study of the processes through which the investors’ predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated – yet very well documented by data – system of a large number of interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors’ strategies and the resulting aggregate properties of transaction prices.
Market microstructure is a study of the processes through which the investors’ predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated – yet very well documented by data – system of a large number of interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors’ strategies and the resulting aggregate properties of transaction prices.
Ilija Zovko did his PhD research in large part at the Santa Fe Institute in New Mexico (USA) where he was a resident graduate fellow, and in part at the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) at the University of Amsterdam.
Acknowledgements - 6 Contents - 8 1. Introduction - 10 2. The power of patience: A behavioral regularity in limit order placement - 18 3. The predictive power of zero intelligence in financial markets - 30 4. Correlations and clustering in the trading of members of the London Stock Exchange - 68 5. Market imbalances and stock returns: heterogeneity of order sizes at the London Stock Exchange - 86 6. Conclusions - 106 Bibliography - 108 Samenvatting (Summary in Dutch) - 118
Erscheint lt. Verlag | 16.9.2008 |
---|---|
Reihe/Serie | AUP Dissertation Series |
Verlagsort | Amsterdam |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 214 g |
Themenwelt | Geisteswissenschaften ► Philosophie |
Naturwissenschaften | |
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
Wirtschaft ► Betriebswirtschaft / Management ► Marketing / Vertrieb | |
Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
ISBN-10 | 90-5629-538-1 / 9056295381 |
ISBN-13 | 978-90-5629-538-7 / 9789056295387 |
Zustand | Neuware |
Haben Sie eine Frage zum Produkt? |
Mehr entdecken
aus dem Bereich
aus dem Bereich
Investition, Finanzierung, Finanzmärkte und Steuerung
Buch | Softcover (2022)
Vahlen (Verlag)
39,80 €
theoretische Basis und praktische Anwendung
Buch | Softcover (2023)
De Gruyter Oldenbourg (Verlag)
39,95 €
Funktionen — Methoden — Grundsätze
Buch | Hardcover (2024)
Springer Gabler (Verlag)
69,99 €