High frequency trading and limit order book dynamics

Accounting and Finance

Research output: Book/Report/Proceedings › Book

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High frequency trading and limit order book dynamics. / Nolte, Ingmar; Salmon, Mark; Adcock, Chris.
Taylor and Francis, 2016. 312 p.

Research output: Book/Report/Proceedings › Book

Author

Nolte, Ingmar ; Salmon, Mark ; Adcock, Chris. / High frequency trading and limit order book dynamics. Taylor and Francis, 2016. 312 p.

Bibtex

@book{b1a09ad17ec74b8d8326574ce30518c7,

title = "High frequency trading and limit order book dynamics",

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.",

author = "Ingmar Nolte and Mark Salmon and Chris Adcock",

year = "2016",

month = apr,

day = "14",

language = "English",

isbn = "9781138829381",

publisher = "Taylor and Francis",

}

RIS

TY - BOOK

T1 - High frequency trading and limit order book dynamics

AU - Nolte, Ingmar

AU - Salmon, Mark

AU - Adcock, Chris

PY - 2016/4/14

Y1 - 2016/4/14

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84978525260&partnerID=8YFLogxK

M3 - Book

AN - SCOPUS:84978525260

SN - 9781138829381

BT - High frequency trading and limit order book dynamics

PB - Taylor and Francis

ER -

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