High frequency trading and limit order book dynamics

Nolte, Ingmar and Salmon, Mark and Adcock, Chris (2016) High frequency trading and limit order book dynamics. Taylor and Francis. ISBN 9781138829381

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Abstract

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Item Type:
Book/Report/Proceedings
Additional Information:
Publisher Copyright: © 2015 Taylor & Francis. All rights reserved.
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1400
Subjects:
ID Code:
176446
Deposited By:
Deposited On:
26 Oct 2022 11:45
Refereed?:
No
Published?:
Published
Last Modified:
05 Dec 2022 13:10