Algorithmic trading: issues and preliminary evidence

Abstract : Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Keywords : Algorithmic trading
Type de document :
Chapitre d'ouvrage
F. Abergel, J-P. Bouchaud, T. Foucault, C. Lehalle, M. Rosenbaum (Eds). Market Microstructure: Confronting Many Viewpoints, John Wiley & Sons, pp.NC, 2012
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https://hal-hec.archives-ouvertes.fr/hal-00711389
Contributeur : Amaury Bouvet <>
Soumis le : dimanche 24 juin 2012 - 16:44:54
Dernière modification le : jeudi 11 janvier 2018 - 06:19:31

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  • HAL Id : hal-00711389, version 1

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Thierry Foucault. Algorithmic trading: issues and preliminary evidence. F. Abergel, J-P. Bouchaud, T. Foucault, C. Lehalle, M. Rosenbaum (Eds). Market Microstructure: Confronting Many Viewpoints, John Wiley & Sons, pp.NC, 2012. 〈hal-00711389〉

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