High Frequency Trading and Limit Order Book Dynamics by Ingmar Nolte,Mark Salmon,Chris Adcock

By Ingmar Nolte,Mark Salmon,Chris Adcock

This e-book brings jointly the newest examine within the parts of industry microstructure and high-frequency finance besides new econometric ways to tackle serious sensible matters in those parts of study. 13 chapters, each one of which makes a important and important contribution to the present literature were introduced jointly, spanning quite a lot of themes together with info asymmetry and the data content material in restrict order books, high-frequency go back distribution types, multivariate volatility forecasting, research of person buying and selling behaviour, the research of liquidity, expense discovery throughout markets, marketplace microstructure types and the knowledge content material of order circulation. those matters are important either to the speedily increasing perform of excessive frequency buying and selling in monetary markets and to the additional improvement of the educational literature during this sector. the quantity will as a result be of speedy curiosity to practitioners and teachers.

This booklet was once initially released as a unique factor of European magazine of Finance.

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