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Market Microstructure and Nonlinear Dynamics

Keeping Financial Crisis in Context

  • Book
  • © 2014

Overview

  • Examines the market microstructure dynamics to understand effects of financial downturn

  • Provides information and analysis of new financial regulations

  • Helps to define optimal investment strategies

  • A definitive volume with contributions from leading experts on market microstructure

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Table of contents (11 chapters)

Keywords

About this book

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.

Editors and Affiliations

  • GREQAM/DEFI, Aix-Marseille University, Les Milles, France

    Gilles Dufrénot

  • University of Evry, Evry, France

    Fredj Jawadi

  • ESSCA School of Management, Boulogne-Billancourt, France

    Waël Louhichi

About the editors

Gilles Dufrénot is currently Professor of Economics at the Aix-Marseille University. He worked as a consultant for International Organizations, central banks and governments in the fields of policymaking (IMF, European Commission WAEMU Commission, African Development Bank). His areas of specialization include time series econometrics, fiscal and monetary policies, international finance. He has published many papers in international refereed journal and has published books. His recently published book (After the crisis: the economic policies in the world, Economica, Paris, in French) has been rewarded a special mention of the Turgot Prize of the best book in Financial Economics). He is currently the director of the Department "Economic development and International finance" of the GREQAM, a research center specialized in quantitative and mathematical economics.

Fredj Jawadi is an Associate Professor of Economics at the University of Evry Val d' Essonne in France. His research focuses on financial economics and nonlinear Time Series Econometrics. He has written and edited several books in Economics and Finance and authored several papers published in international journals.

Waël Louhichi is currently a Professor of Finance at ESSCA School of Management. He was previously an Associate Professor of Finance at Rennes 1 University and Assistant Professor at Amiens School of Management. He obtained a Ph.D from both Perpignan University (France) and Louvain School of Management (Belgium). His main area of research is market microstructure & financial accounting and has published several articles in international journals (Review of Accounting and Finance, Management Decision, Journal of Asset Management, Journal of Applied Business Research, International Review of Financial Analysis, Applied Financial Economics, Applied Economic Letters, International Economics, Applied Economics, etc.).

Bibliographic Information

  • Book Title: Market Microstructure and Nonlinear Dynamics

  • Book Subtitle: Keeping Financial Crisis in Context

  • Editors: Gilles Dufrénot, Fredj Jawadi, Waël Louhichi

  • DOI: https://doi.org/10.1007/978-3-319-05212-0

  • Publisher: Springer Cham

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Springer International Publishing Switzerland 2014

  • Hardcover ISBN: 978-3-319-05211-3Published: 29 July 2014

  • Softcover ISBN: 978-3-319-34325-9Published: 03 September 2016

  • eBook ISBN: 978-3-319-05212-0Published: 14 July 2014

  • Edition Number: 1

  • Number of Pages: XII, 315

  • Number of Illustrations: 32 b/w illustrations

  • Topics: Finance, general, Macroeconomics/Monetary Economics//Financial Economics, Quantitative Finance

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