Limit Order Books
Language: en
Pages: 242
Authors: Frédéric Abergel
Categories: Mathematics
Type: BOOK - Published: 2016-05-09 - Publisher: Cambridge University Press

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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the ord
High Frequency Trading and Limit Order Book Dynamics
Language: en
Pages: 377
Authors: Ingmar Nolte
Categories: Business & Economics
Type: BOOK - Published: 2016-04-14 - Publisher: Routledge

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This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri
Liquidity, Trading Rules, and Electronic Trading Systems
Language: en
Pages: 76
Authors: Lawrence E. Harris
Categories: Capital market
Type: BOOK - Published: 1991 - Publisher:

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Market Microstructure Theory
Language: en
Pages: 310
Authors: Maureen O'Hara
Categories: Business & Economics
Type: BOOK - Published: 1998-03-06 - Publisher: John Wiley & Sons

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Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important
Algorithmic and High-Frequency Trading
Language: en
Pages: 360
Authors: Álvaro Cartea
Categories: Mathematics
Type: BOOK - Published: 2015-08-06 - Publisher: Cambridge University Press

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit