MARKET MICROSTRUCTURE IN PRACTICE - Lehalle Charles-Albert

. .

Résumé :
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. Using a quantitative viewpoint, this book will 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 through the book, allowing the reader to go further on his own.

Biographie:
About the Editors Currently Senior Research Manager at Capital Fund Management (CFM), Charles-Albert Lehalle is an international expert in market microstructure and optimal trading. Formerly Global Head of Quantitative Research at Credit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure at Credit Agricole Corporate Investment Bank in the Equity Brokerage and Derivative Department, he has been studying the market microstructure intensively since regulatory changes in Europe and in the US took place. Currently Assistant Professor at Universite Paris-Est Creteil (UPEC), Sophie Laruelle defended her PhD in December 2011 under the supervision of Gilles Pages on analysis of stochastic algorithms applied to Finance. During her PhD, she made two contributions on market microstructure in collaboration with Charles-Albert Lehalle: the first one on the optimal allocation among dark pools and the second on optimal posting price in the limit order book. She then worked at Ecole Centrale Paris with Frederic Abergel on agent-based models and she now continues to work on applications of stochastic approximation theory notably to market microstructure for building trading algorithms.

Sommaire:
Market Fragmentation: Monitoring and History; Smart Order Routing; Tick Size; Information Seeking and Price Discovery; Dark Pools and Broker Crossing Networks; Liquidity: The Viewpoint of Trading Venues; The Agenda of High Frequency Traders; The Link between Fragmentation and Systemic Risk; The Flash Crash; The Signature Plot; The Epps Effect; Optimal organization for Optimal Trading; Market Impact at Different Time Scales; Optimal Trading Quantitative Approaches: Optimal Trade Scheduling and Optimal Order Routing.

Today, there is so much confusion on the actual functioning of capital markets, the impact of regulation, MiFiD in Europe and Reg NMS in the US, on market fragmentation and liquidity, the role of dark pools, of high-frequency traders in providing liquidity and bridging fragmented trading platforms. This book addresses all these demanding issues in a readable form. The authors are uniquely qualified, combining scholarly research backgrounds at the highest level of sophistication with extensive practical experience in designing best practice trading platforms. This book is a must-read for anyone with a serious interest in market microstructure. -- Michel Crouhy Head of Research & Development at Natixis, Paris