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Market Microstructure: Confronting Many Viewpoints by Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle, Frédéric Abergel, Jean-Philippe Bouchaud

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Index

Abergel, Frédéric

ABEs see adaptive Bayesian type estimators

AC 2000

active/passive sides in transactions, definitions

adaptive Bayesian type estimators (ABEs)

adaptive complex systems

adaptive random symbol, concepts

ADBE, NASDAQ limit order flows

adverse selection costs

see also asymmetric information

AEX

Agency Algorithms (AA)

agent-based models

aggressive limit orders

algorithmic trading

see also high-frequency traders; optimal trading strategies

adverse selection costs

concepts

conclusions

costs and benefits

crash of May 6 2010

critique

definitions

efficient markets

empirical evidence

historical background

introductory background

issues

liquidity considerations

market structures

messages traffic

performance analysis

price discovery

pricing errors

risk sources

scope and profitability

search costs

statistics

stress tests

systemic risk

trading strategies

typology

volatilities

welfare effects

Almgren–Chriss formulation

alpha

see also capital asset pricing model; short-term …

alternative trading systems (ATSs)

anticipative random symbol

arbitrageurs

see also Proprietary Algorithms; speculation; statistical …

hidden-order arbitrage theory

high-frequency correlations results

statistics

ARCH

Arrow, Kenneth

asset classes

asset management

asymmetric information

see also adverse selection costs

definition

asymptotic expansions

see also quasi likelihood analysis

at the market postings

ATD

ATSs see alternative trading systems

autocorrelation

Autoquote software, NYSE

‘average limit ...

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