000 04369nam a22004815i 4500
001 978-3-319-05212-0
003 DE-He213
005 20200420211751.0
007 cr nn 008mamaa
008 140714s2014 gw | s |||| 0|eng d
020 _a9783319052120
_9978-3-319-05212-0
024 7 _a10.1007/978-3-319-05212-0
_2doi
050 4 _aHG1-HG9999
072 7 _aKFF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
245 1 0 _aMarket Microstructure and Nonlinear Dynamics
_h[electronic resource] :
_bKeeping Financial Crisis in Context /
_cedited by Gilles Dufr�enot, Fredj Jawadi, Wa�el Louhichi.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2014.
300 _aXII, 315 p. 32 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aMarket Fragmentation and Market Quality: The European Experience -- Pre-trade Transparency and the Information Content of the Limit Order Book -- Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets -- News Trader, Liquidity and Transaction Cost -- What Moves Euro-Bund Futures Contracts on Eurex? Surprises!- Individual Investors' Trading Activities and Price Volatility -- Finance and Growth Causality: Empirical Evidence for Emerging Europe -- Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area -- Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone (Application of ARCH/GARCH/EGARCH) -- Shift-Volatility Transmission in East Asian Equity Markets: New Indicators -- Transaction Costs and Nonlinear Modelling of Real Exchange Rate Deviations from Purchasing Power Parity: Evidence from the MENA Region. .
520 _aThis book discusses market microstructure environment within the context of the global financial crisis and investigates the recent econometric tools toimprove financial markets dynamics in calm and turbulent times. In the first part, the market microstructure theory is examined and the main microstructure models and hypotheses are discussed. In particular, contributors focus on themain effects of the financial downturn through an examination of marketmicrostructure dynamics, the limitations associated with standard microstructure models and the investigation of ways to improve such models. Interestingly, promising analyses based on recent high-frequency data and sophisticated models discuss new regulations, and recent developments for financial markets are provided in order to improve the understating of market microstructure evolution. As for the second part, this book focuses on Nonlinear Dynamics. Through interesting contributions concerning stock markets, exchange rate and bond markets, authors propose several new specifications to improve the modelling of key financial variables such as return, risk premium, risk, etc. Also, this part provides interesting explanations of the effects and the consequences of high-level linkages between financial markets. Finally, while analyzing the effect of the recent global financial crisis and the reaction function of investors, markets and institutions, authors specify the appropriate way to better forecast financial markets dynamics and improve investment and financial decisions. For both parts, well-known experts on market microstructure and nonlinear econometrics contribute to the chapters in the book. This book is strongly recommended for academic researchers, students and quantitative practitioners.
650 0 _aFinance.
650 0 _aEconomics, Mathematical.
650 0 _aMacroeconomics.
650 1 4 _aFinance.
650 2 4 _aFinance, general.
650 2 4 _aMacroeconomics/Monetary Economics//Financial Economics.
650 2 4 _aQuantitative Finance.
700 1 _aDufr�enot, Gilles.
_eeditor.
700 1 _aJawadi, Fredj.
_eeditor.
700 1 _aLouhichi, Wa�el.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319052113
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-05212-0
912 _aZDB-2-SBE
942 _cEBK
999 _c51284
_d51284