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Market Microstructure in Practice (2013)

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Market Microstructure in Practice comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the “Flash Crash” of 2010 are also analyzed in depth. Edited by Charles-Albert Lehalle and Sophie Laruelle, and with contributions from Romain Burgot, Stéphanie Pelin and Matthieu Lasnier, this book uses a quantitative viewpoint to help students, academics, regulators, policy makers, and practitioners understand how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used throughout the book, allowing the reader to go further on his own.


Contents:

1. Monitoring the Fragmentation at Any Scale:

  • Fluctuations of Market Shares: A First Graph
  • Smart Order Routing (SOR), A Structural Component of European Price Formation Process
  • Still Looking for the Optimal Tick Size
  • Can We See in the Dark?

2. Understanding the Stakes and the Roots of Fragmentation:

  • From Intraday Market Share to Volume Curves: Some Stationarity Issues
  • Does More Liquidity Guarantee a Better Market Share? A Little Story About the European Bid-Ask Spread
  • The Agenda of High Frequency Traders: How Do They Extend Their Universe?
  • The Link Between Fragmentation and Systemic Risk

3. Optimal Organisations for Optimal Trading:

  • Organising a Trading Structure to Answer to a Fragmented Landscape
  • Market Impact Measurements: Understanding the Price Formation Process from the Viewpoint of One Investor
  • Optimal Trading Methods
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