Market Microstructure and Nonlinear Dynamics

Keeping Financial Crisis in Context

Editors: Dufrénot, Gilles, Jawadi, Fredj, Louhichi, Waël (Eds.)

  • 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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eBook $139.00
price for USA (gross)
  • ISBN 978-3-319-05212-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-3-319-05211-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.00
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at 1-800-777-4643, Latin America please contact us at +1-212-460-1500 (Weekdays 8:30am – 5:30pm ET) to place your order.
  • Due: October 20, 2016
  • ISBN 978-3-319-34325-9
  • Free shipping for individuals worldwide
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.

About the authors

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.).

Table of contents (11 chapters)

  • Market Fragmentation and Market Quality: The European Experience

    Gresse, Carole

    Pages 1-24

  • Pre-trade Transparency and the Information Content of the Limit Order Book

    Duong, Huu Nhan (et al.)

    Pages 25-50

  • Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets

    Bennouri, Moez

    Pages 51-93

  • News Trader, Liquidity and Transaction Cost

    Kruse, Timm (et al.)

    Pages 95-127

  • What Moves Euro-Bund Futures Contracts on Eurex? Surprises!

    Moraux, Franck (et al.)

    Pages 129-153

Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-3-319-05212-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-3-319-05211-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.00
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at 1-800-777-4643, Latin America please contact us at +1-212-460-1500 (Weekdays 8:30am – 5:30pm ET) to place your order.
  • Due: October 20, 2016
  • ISBN 978-3-319-34325-9
  • Free shipping for individuals worldwide
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Bibliographic Information

Bibliographic Information
Book Title
Market Microstructure and Nonlinear Dynamics
Book Subtitle
Keeping Financial Crisis in Context
Editors
  • Gilles Dufrénot
  • Fredj Jawadi
  • Waël Louhichi
Copyright
2014
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-05212-0
DOI
10.1007/978-3-319-05212-0
Hardcover ISBN
978-3-319-05211-3
Softcover ISBN
978-3-319-34325-9
Edition Number
1
Number of Pages
XII, 315
Number of Illustrations and Tables
32 b/w illustrations
Topics