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Book Sections Year : 2012

Algorithmic trading: issues and preliminary evidence

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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.

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hal-00711389 , version 1 (24-06-2012)

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  • HAL Id : hal-00711389 , version 1

Cite

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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