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Ouvrages Année : 2014

Market microstructure and nonlinear dynamics : keeping financial crisis in context

Résumé

This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.

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Dates et versions

hal-01474273 , version 1 (22-02-2017)

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Gilles Dufrénot, Fredj Jawadi, Waël Louhichi. Market microstructure and nonlinear dynamics : keeping financial crisis in context. Gilles Dufrénot; Fredj Jawadi; Waël Louhichi. Springer International Publishing, pp.315, 2014, 978-3-319-05211-3. ⟨10.1007/978-3-319-05212-0⟩. ⟨hal-01474273⟩
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