Market Microstructure and Nonlinear Dynamics -

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Résumé :
This book discusses?market microstructure environment within the context of the global financial crisis.?In the first part,?the market microstructure theory is recalled?and?the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the?new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for?academic researchers, students and?quantitative practitioners.

Biographie:

Gilles Dufr?not is currently Professor of Economics at the Aix-Marseille University. He worked as a consultant for International Organizations, central banks and governments in the fields of policymaking (IMF, European Commission WAEMU Commission, African Development Bank). His areas of specialization include time series econometrics, fiscal and monetary policies, international finance. He has published many papers in international refereed journal and has published books. His recently published book (After the crisis: the economic policies in the world, Economica, Paris, in French) has been rewarded a special mention of the Turgot Prize of the best book in Financial Economics). He is currently the director of the Department Economic development and International finance of the GREQAM, a research center specialized in quantitative and mathematical economics.

Fredj Jawadi?is an Associate Professor of Economics at the University of Evry Val d' Essonne in France. His research focuses on financial economics and nonlinear Time Series Econometrics. He has written and edited several books in Economics and Finance and authored several papers published in international journals.