Market microstructure, high frequency finance and optimal trading strategies (series: the wiley finance series) (hardback) Confronting Many Viewpoints The Wiley Finance Series

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.

About the editors

About the contributors

Part I. Economic microstructure theory

1. Algorithmic trading: issues and preliminary evidence
T. Foucault

2. Order Choice and Information in Limit Order Markets
I. Rosu

Part II. High frequency data modeling

3. Some Recent Results on High Frequency Correlation
F. Abergel, N. Huth

Part III. Market impact

4. Models for the impact of all order book events
Z. Eisler, J.-P. Bouchaud, J. Kockelkoren

5. Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ ITCH Data
N. Hautsch, R. Huang

Part IV. Optimal trading

6. Collective portfolio optimization in brokerage data: the role of transaction cost structure
D. Challet, D. Morton del a Chappelle

7. Optimal execution of portfolio transactions with short-alpha
A. M. Criscuolo, H. Waelbroeck

Bibliography

Index

FRÉDÉRIC ABERGEL graduated from École Normale Supérieure with a PhD in Mathematics. He started an academic career as a researcher with the CNRS. He spent ten years in the Mathematics department of the University of Orsay Paris XI and then switched to the capital markets industry and became a quantitative analyst. He has worked for trading floors in various financial institutions, mainly in the derivatives sector, developing pricing and hedging models. He now holds the BNP Paribas Chair of Quantitative Finance at École Centrale Paris. His research focuses on the study of empirical properties and mathematical models of market microstructure, high frequency data, algorithmic trading. 

JEAN-PHILIPPE BOUCHAUD graduated from the École Normale Supérieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS. After a year spent in the Cavendish Laboratory, he joined the Service de Physique de l’Etat Condensé, where he worked on the dynamics of glassy systems and on granular media. His work in finance includes extreme risk models, agent based simulations, market microstructure and price formation. He went on to found the company Science & Finance that merged with Capital Fund Management. He is now the President and Head of Research at CFM, and professor at École Polytechnique. He has published over 250 scientific papers and several books in physics and in finance. 

THIERRY FOUCAULT is Professor of Finance at HEC, Paris where he received his PhD in Finance. He is a research fellow of the Centre for Economic Policy. His research focuses on the determinants of financial markets liquidity and the industrial organization of the securities industry. His work has been published in top-tier scientific journals, including the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. He acts as co-editor of the Revie