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Market microstructure and nonlinear dynamics : keeping financial crisis in context

Author

Listed:
  • Gilles Dufrénot

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, Centre de recherche de la Banque de France - Banque de France, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique)

  • Fredj Jawadi

    (Amiens School of Management - Amiens School of Management, EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, UEVE - Université d'Évry-Val-d'Essonne, LITEM - Laboratoire en Innovation, Technologies, Economie et Management (EA 7363) - EESC-GEM Grenoble Ecole de Management - UEVE - Université d'Évry-Val-d'Essonne - TEM - Télécom Ecole de Management)

  • Waël Louhichi

    (ESSCA Research Lab - ESSCA - Ecole Supérieure des Sciences Commerciales d'Angers)

Abstract

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.

Suggested Citation

  • Gilles Dufrénot & Fredj Jawadi & Waël Louhichi, 2014. "Market microstructure and nonlinear dynamics : keeping financial crisis in context," Post-Print hal-01474273, HAL.
    • Handle: RePEc:hal:journl:hal-01474273
    DOI: 10.1007/978-3-319-05212-0
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    Cited by:

    1. Anoop S Kumar & B Kamaiah, 2017. "Returns And Volatility Spillover Between Asian Equity Markets: A Wavelet Approach," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 62(212), pages 63-84, January -.
    2. Paulo Pereira Silva, 2018. "Fragmentation and Market Quality: The Case of European Markets," De Economist, Springer, vol. 166(2), pages 179-206, June.

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    Keywords

    Economie quantitative;

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