LEADER 05208nam 22006735 450 001 9910298559603321 005 20200919044244.0 010 $a3-319-05212-8 024 7 $a10.1007/978-3-319-05212-0 035 $a(CKB)3710000000187243 035 $a(EBL)1782220 035 $a(OCoLC)884543701 035 $a(SSID)ssj0001295405 035 $a(PQKBManifestationID)11724570 035 $a(PQKBTitleCode)TC0001295405 035 $a(PQKBWorkID)11342703 035 $a(PQKB)10248249 035 $a(MiAaPQ)EBC1782220 035 $a(DE-He213)978-3-319-05212-0 035 $a(PPN)179921797 035 $a(EXLCZ)993710000000187243 100 $a20140714d2014 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMarket Microstructure and Nonlinear Dynamics $eKeeping Financial Crisis in Context /$fedited by Gilles Dufrénot, Fredj Jawadi, Waël Louhichi 205 $a1st ed. 2014. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2014. 215 $a1 online resource (322 p.) 300 $aDescription based upon print version of record. 311 $a3-319-05211-X 320 $aIncludes bibliographical references at the end of each chapters and index. 327 $aMarket Fragmentation and Market Quality: The European Experience -- Pre-trade Transparency and the Information Content of the Limit Order Book -- Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets -- News Trader, Liquidity and Transaction Cost -- What Moves Euro-Bund Futures Contracts on Eurex? Surprises!- Individual Investors' Trading Activities and Price Volatility -- Finance and Growth Causality: Empirical Evidence for Emerging Europe -- Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area -- Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone (Application of ARCH/GARCH/EGARCH) -- Shift-Volatility Transmission in East Asian Equity Markets: New Indicators -- Transaction Costs and Nonlinear Modelling of Real Exchange Rate Deviations from Purchasing Power Parity: Evidence from the MENA Region. . 330 $aThis book discusses market microstructure environment within the context of the global financial crisis and investigates the recent econometric tools toimprove financial markets dynamics in calm and turbulent times. In the first part, the market microstructure theory is examined and the main microstructure models and hypotheses are discussed. In particular, contributors focus on themain effects of the financial downturn through an examination of marketmicrostructure dynamics, the limitations associated with standard microstructure models and the investigation of ways to improve such models. Interestingly, promising analyses based on recent high-frequency data and sophisticated models discuss new regulations, and recent developments for financial markets are provided in order to improve the understating of market microstructure evolution. As for the second part, this book focuses on Nonlinear Dynamics. Through interesting contributions concerning stock markets, exchange rate and bond markets, authors propose several new specifications to improve the modelling of key financial variables such as return, risk premium, risk, etc. Also, this part provides interesting explanations of the effects and the consequences of high-level linkages between financial markets. Finally, while analyzing the effect of the recent global financial crisis and the reaction function of investors, markets and institutions, authors specify the appropriate way to better forecast financial markets dynamics and improve investment and financial decisions. For both parts, well-known experts on market microstructure and nonlinear econometrics contribute to the chapters in the book. This book is strongly recommended for academic researchers, students and quantitative practitioners. 606 $aFinance 606 $aMacroeconomics 606 $aEconomics, Mathematical  606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 606 $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 615 0$aFinance. 615 0$aMacroeconomics. 615 0$aEconomics, Mathematical . 615 14$aFinance, general. 615 24$aMacroeconomics/Monetary Economics//Financial Economics. 615 24$aQuantitative Finance. 676 $a330 676 $a330.015195 676 $a332 676 $a519 702 $aDufrénot$b Gilles$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aJawadi$b Fredj$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aLouhichi$b Waël$4edt$4http://id.loc.gov/vocabulary/relators/edt 906 $aBOOK 912 $a9910298559603321 996 $aMarket Microstructure and Nonlinear Dynamics$92537786 997 $aUNINA