Peter Lerner

Microstructure and Noise in Financial Markets

Rigorous and not-so rigorous results in market microstructure

• Broschiertes Buch

Produktbeschreibung

Market microstructure is a discipline studying the
features of the financial markets, which are the
result of deliberate design as well as economic laws
and technological infrastructure. It has recently
increased in importance because of the propagation
of programmatic trading and the proliferation of
ever more sophisticated financial fraud. My book
deals with the subject of microstructure of
financial markets not as a collection of
miscellaneous results but as a connection between
few underlying ideas. These ideas concern the
formation of the bid-ask spread as a result of
information asymmetry, order processing and
inventory maintenance and consequent bid-ask bounce,
the influence of frictions on volatility and the
relationship between natural (continuous) and
transaction (discrete) time. Empirical examples
involve event studies of the developed (NYSE,
Nasdaq) as well as emerging markets such as Russian
sovereign bond market in the late 90s and Venezuelan
short-term debt.

Produktdetails

• Verlag: VDM Verlag Dr. Müller
• Seitenzahl: 224
• Englisch
• Gewicht: 305g
• ISBN-13: 9783639140415
• ISBN-10: 3639140419
• Artikelnr.: 26523231

Autorenporträt

Peter B. Lerner has a degree in physics from Moscow Institute of
Physics & Technology. He conducted research at Los Alamos
National Laboratory and Penn State authoring 60+ papers. After
receiving MBA from U. Pittsburgh, he worked as energy quant.
Peter holds his doctorate in Finance from Syracuse U. He lives
in Ithaca, NY.