Market Microstructure in Practice 2nd Edition by Charles Albert Lehalle, Sophie Laruelle 9789813231122 9813231122

Market Microstructure in Practice 2nd Edition by Charles Albert Lehalle, Sophie Laruelle – Ebook PDF Instant Download/Delivery: 9789813231122, 9813231122

Full download Market Microstructure in Practice 2nd Edition after payment

 

Product details:

ISBN 10: 9813231122

ISBN 13: 9789813231122

Author: Charles-Albert Lehalle, Sophie Laruelle

This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the’Flash Crash’ of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book’s overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle’s model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.

Table of contents:

1. Monitoring the Fragmentation at Any Scale

1.1 Fluctuations of Market Shares: A First Look at Liquidity

1.1.1 The market share: A not so obvious liquidity metric

1.1.2 Phase 1: First attempts of fragmentation

1.1.3 Phase 2: Convergence towards a European offer

1.1.4 Phase 3: Apparition of broker crossing networks and dark pools

1.2 SOR (Smart Order Routing), A Structural Component of European Price Formation Process

1.2.1 How to route orders in a fragmented market?

1.2.2 Fragmentation is a consequence of primary markets’ variance

1.3 Still Looking for the Optimal Tick Size

1.3.1 Why does tick size matter?

1.3.2 How tick size affects market quality

1.3.3 How can tick size be used by trading venue to earn market share?

1.3.4 How does tick size change the profitability of the various participants in the market?

1.3.5 The value of a quote

1.4 Can We See in the Dark?

1.4.1 Mechanism of dark liquidity pools

1.4.2 In-depth analysis of dark liquidity

2. Understanding the Stakes and the Roots of Fragmentation

2.1 From Intraday Market Share to Volume Curves: Some Stationarity Issues

2.1.1 Inventory-driven investors need fixing auctions

2.1.2 Timing is money: Investors’ optimal trading rate

2.1.3 Fragmentation and the evolution of intraday volume patterns

2.2 The Four Main Liquidity Variables: Traded Volumes, Bid–Ask Spread, Volatility and Quoted Quantities

2.3 Does More Liquidity Guarantee a Better Market Share? A Little Story About the European Bid–Ask Spread

2.3.1 The bid–ask spread and volatility move accordingly

2.3.2 Bid–ask spread and market share are deeply linked

2.3.3 Exchanges need to show volatility-resistance

2.4 The Agenda of High Frequency Traders: How Do They Extend their Universe?

2.4.1 Metrics for the balance in liquidity among indexes

2.4.2 A history of coverage

2.4.3 High-frequency traders do not impact all investors equally

2.5 The Link Between Fragmentation and Systemic Risk

2.5.1 The Spanish experiment

2.5.2 The Flash Crash (May 6, 2010) in NY: How far are we from systemic risk?

2.5.3 From Systemic Risk To Circuit Breakers

2.6 Beyond Equity Markets

3. Optimal Organizations for Optimal Trading

3.1 Organizing a Trading Structure to Answer a Fragmented Landscape

3.1.1 Main inputs of trading tools

3.1.2 Components of trading algorithms

3.1.3 Main outputs of an automated trading system

3.2 Market Impact Measurements: Understanding the Price Formation Process from the Viewpoint of One Investor

3.2.1 Market impact over the trading period

3.2.2 Market impact on a longer horizon: Price anticipation and permanent market impact

3.3 The Price Formation Process and Orderbooks Dynamics

3.3.1 Information reaching orderbooks

3.3.2 Understanding via conditioning

3.3.3 Conclusion on orderbook dynamics

3.4 Optimal Trading Methods

3.4.1 Algorithmic trading: Adapting trading style to investors’ needs

3.4.2 Liquidity-seeking algorithms are no longer nice to have

3.4.3 Conclusion on optimal trading

People also search:

market microstructure in practice (second edition pdf)

market microstructure for practitioners pdf

market microstructure in practice

market microstructure pdf

market microstructure for practitioners

Tags: Charles Albert Lehalle, Sophie Laruelle, Market, Practice