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Market microstructure in practice / / editors, Charles-Albert Lehalle, Sophie Laruelle
| Market microstructure in practice / / editors, Charles-Albert Lehalle, Sophie Laruelle |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, New Jersey : , : World Scientific Publishing Company, , [2014] |
| Descrizione fisica | 1 online resource (332 p.) |
| Disciplina | 332.0415 |
| Altri autori (Persone) |
LaruelleSophie
LehalleCharles-Albert |
| Soggetto topico |
Capital market
Finance Stock exchanges |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-4566-17-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
About the Editors; About the Contributors; Contents; Foreword by; Robert Almgren; Bertrand Patillet; Philippe Guillot; Albert J. Menkveld; Preface by; Charles-Albert Lehalle; Sophie Laruelle; Introduction; Liquidity in Question; Microstructure from a Regulatory Standpoint; A Recent Appetite of Regulators and Policy-Makers for Electronic Markets; Worldwide Consolidation: An Electronic Trading Global Timeline; Changes in the Microstructure; Defining Best Execution; Redefining the Roles: An Agent is Now Both Liquidity Taker and Liquidity Provider Simultaneously
Towards a Paradigm Shift: A Blurring of Roles Impact on Liquidity; 1. Monitoring the Fragmentation at Any Scale; 1.1 Fluctuations of Market Shares: A First Graph on 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; Entropy of the market microstructure; Fragmentation of what?; 1.1.4 Phase 3: Apparition of broker crossing networks and Dark Pools; How HFT activity promoted trading outside of visible pools; Small and mid-caps: Catching up main indexes; From division to union 1.2 Smart Order Routing (SOR), A Structural Component of European Price Formation Process 1.2.1 How to route orders in a fragmented market?; Focus on atomic orders; Using a Smart Order Router (SOR); Aggregate liquidity to minimize the impact of each order; Smart Order Routers or Smart Fee Savers?; Beware of duplicate liquidity; 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; Decreasing the tick size lowers spreads when tick size is a constraint Smaller and faster liquidity, does this means more unstable?Cumulative depth and order exposure incentive; Queue jumping and the profitability of limit orders relative to marketable ones; 1.3.3 How can tick size be used by trading venue to earn market share?; Tick size war in the US; Tick size war in Europe; 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; European Dark Pool market share Dark Pools and price discovery Main characteristics of dark liquidity; Dark Pools risks and toxic 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; Fixing auctions: What's at stake; Basic matching rules during call auctions; Pre-fixing dynamics demystified; 2.1.2 Timing is money: Investors need to trade accordingly; Market design and information flow timing imply liquidity patterns; Examples of mixed effects; 1) Opening of the US market 2) US macroeconomic news |
| Record Nr. | UNINA-9910453396003321 |
| Singapore ; ; Hackensack, New Jersey : , : World Scientific Publishing Company, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market microstructure in practice / / editors, Charles-Albert Lehalle, Capital Fund Management, France, Sophie Laruelle, Universite Paris-Est Creteil, France
| Market microstructure in practice / / editors, Charles-Albert Lehalle, Capital Fund Management, France, Sophie Laruelle, Universite Paris-Est Creteil, France |
| Pubbl/distr/stampa | New Jersey : , : World Scientific, , [2014] |
| Descrizione fisica | 1 online resource (xxv, 305 pages) : illustrations (some color) |
| Disciplina | 332.0415 |
| Collana | Gale eBooks |
| Soggetto topico |
Capital market
Finance Stock exchanges |
| ISBN | 981-4566-17-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
About the Editors; About the Contributors; Contents; Foreword by; Robert Almgren; Bertrand Patillet; Philippe Guillot; Albert J. Menkveld; Preface by; Charles-Albert Lehalle; Sophie Laruelle; Introduction; Liquidity in Question; Microstructure from a Regulatory Standpoint; A Recent Appetite of Regulators and Policy-Makers for Electronic Markets; Worldwide Consolidation: An Electronic Trading Global Timeline; Changes in the Microstructure; Defining Best Execution; Redefining the Roles: An Agent is Now Both Liquidity Taker and Liquidity Provider Simultaneously
Towards a Paradigm Shift: A Blurring of Roles Impact on Liquidity; 1. Monitoring the Fragmentation at Any Scale; 1.1 Fluctuations of Market Shares: A First Graph on 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; Entropy of the market microstructure; Fragmentation of what?; 1.1.4 Phase 3: Apparition of broker crossing networks and Dark Pools; How HFT activity promoted trading outside of visible pools; Small and mid-caps: Catching up main indexes; From division to union 1.2 Smart Order Routing (SOR), A Structural Component of European Price Formation Process 1.2.1 How to route orders in a fragmented market?; Focus on atomic orders; Using a Smart Order Router (SOR); Aggregate liquidity to minimize the impact of each order; Smart Order Routers or Smart Fee Savers?; Beware of duplicate liquidity; 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; Decreasing the tick size lowers spreads when tick size is a constraint Smaller and faster liquidity, does this means more unstable?Cumulative depth and order exposure incentive; Queue jumping and the profitability of limit orders relative to marketable ones; 1.3.3 How can tick size be used by trading venue to earn market share?; Tick size war in the US; Tick size war in Europe; 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; European Dark Pool market share Dark Pools and price discovery Main characteristics of dark liquidity; Dark Pools risks and toxic 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; Fixing auctions: What's at stake; Basic matching rules during call auctions; Pre-fixing dynamics demystified; 2.1.2 Timing is money: Investors need to trade accordingly; Market design and information flow timing imply liquidity patterns; Examples of mixed effects; 1) Opening of the US market 2) US macroeconomic news |
| Record Nr. | UNINA-9910790748103321 |
| New Jersey : , : World Scientific, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market microstructure in practice / / editors, Charles-Albert Lehalle, Capital Fund Management, France, Sophie Laruelle, Universite Paris-Est Creteil, France
| Market microstructure in practice / / editors, Charles-Albert Lehalle, Capital Fund Management, France, Sophie Laruelle, Universite Paris-Est Creteil, France |
| Pubbl/distr/stampa | New Jersey : , : World Scientific, , [2014] |
| Descrizione fisica | 1 online resource (xxv, 305 pages) : illustrations (some color) |
| Disciplina | 332.0415 |
| Collana | Gale eBooks |
| Soggetto topico |
Capital market
Finance Stock exchanges |
| ISBN | 981-4566-17-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
About the Editors; About the Contributors; Contents; Foreword by; Robert Almgren; Bertrand Patillet; Philippe Guillot; Albert J. Menkveld; Preface by; Charles-Albert Lehalle; Sophie Laruelle; Introduction; Liquidity in Question; Microstructure from a Regulatory Standpoint; A Recent Appetite of Regulators and Policy-Makers for Electronic Markets; Worldwide Consolidation: An Electronic Trading Global Timeline; Changes in the Microstructure; Defining Best Execution; Redefining the Roles: An Agent is Now Both Liquidity Taker and Liquidity Provider Simultaneously
Towards a Paradigm Shift: A Blurring of Roles Impact on Liquidity; 1. Monitoring the Fragmentation at Any Scale; 1.1 Fluctuations of Market Shares: A First Graph on 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; Entropy of the market microstructure; Fragmentation of what?; 1.1.4 Phase 3: Apparition of broker crossing networks and Dark Pools; How HFT activity promoted trading outside of visible pools; Small and mid-caps: Catching up main indexes; From division to union 1.2 Smart Order Routing (SOR), A Structural Component of European Price Formation Process 1.2.1 How to route orders in a fragmented market?; Focus on atomic orders; Using a Smart Order Router (SOR); Aggregate liquidity to minimize the impact of each order; Smart Order Routers or Smart Fee Savers?; Beware of duplicate liquidity; 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; Decreasing the tick size lowers spreads when tick size is a constraint Smaller and faster liquidity, does this means more unstable?Cumulative depth and order exposure incentive; Queue jumping and the profitability of limit orders relative to marketable ones; 1.3.3 How can tick size be used by trading venue to earn market share?; Tick size war in the US; Tick size war in Europe; 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; European Dark Pool market share Dark Pools and price discovery Main characteristics of dark liquidity; Dark Pools risks and toxic 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; Fixing auctions: What's at stake; Basic matching rules during call auctions; Pre-fixing dynamics demystified; 2.1.2 Timing is money: Investors need to trade accordingly; Market design and information flow timing imply liquidity patterns; Examples of mixed effects; 1) Opening of the US market 2) US macroeconomic news |
| Record Nr. | UNINA-9910823617203321 |
| New Jersey : , : World Scientific, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||