Microstructure and Noise in Financial Markets: Rigorous and Not-so Rigorous Results in Market Microstructure - Peter Lerner - Bøker - VDM Verlag - 9783639140415 - 31. mai 2009
Ved uoverensstemmelse mellom cover og tittel gjelder tittel

Microstructure and Noise in Financial Markets: Rigorous and Not-so Rigorous Results in Market Microstructure

Peter Lerner

Pris
SEK 829

Bestillingsvarer

Forventes levert 31. jul - 11. aug
Legg til iMusic ønskeliste
Eller

Microstructure and Noise in Financial Markets: Rigorous and Not-so Rigorous Results in Market Microstructure

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.

Media Bøker     Pocketbok   (Bok med mykt omslag og limt rygg)
Utgitt 31. mai 2009
ISBN13 9783639140415
Utgivere VDM Verlag
Antall sider 224
Mål 335 g
Språk Engelsk  

Vis alle

Mer med Peter Lerner

Se alt med Peter Lerner ( f.eks. CD og Pocketbok )