Book description
The latest cutting-edge research on market microstructure
Based on the December 2010 conference on market microstructure,
organized with the help of the Institut Louis Bachelier, this guide
brings together the leading thinkers to discuss this important field
of modern finance. It provides readers with vital insight on the
origin of the well-known anomalous "stylized facts" in
financial prices series, namely heavy tails, volatility, and
clustering, and illustrates their impact on the organization of
markets, execution costs, price impact, organization liquidity in
electronic markets, and other issues raised by high-frequency trading.
World-class contributors cover topics including analysis of
high-frequency data, statistics of high-frequency data, market impact,
and optimal trading. This is a must-have guide for practitioners and
academics in quantitative finance.
FRÉDÉRIC ABERGEL graduated from École Normale Supérieure with a
PhD in Mathematics. He started an academic career as a researcher with
the CNRS. He spent ten years in the Mathematics department of the
University of Orsay Paris XI and then switched to the capital markets
industry and became a quantitative analyst. He has worked for trading
floors in various financial institutions, mainly in the derivatives
sector, developing pricing and hedging models. He now holds the BNP
Paribas Chair of Quantitative Finance at École Centrale Paris. His
research focuses on the study of empirical properties and mathematical
models of market microstructure, high frequency data, algorithmic trading.
JEAN-PHILIPPE BOUCHAUD graduated from the École Normale
Supérieure in Paris, where he also obtained his PhD in physics. He was
then appointed by the CNRS. After a year spent in the Cavendish
Laboratory, he joined the Service de Physique de l'Etat Condensé,
where he worked on the dynamics of glassy systems and on granular
media. His work in finance includes extreme risk models, agent based
simulations, market microstructure and price formation. He went on to
found the company Science & Finance that merged with Capital Fund
Management. He is now the President and Head of Research at CFM, and
professor at École Polytechnique. He has published over 250 scientific
papers and several books in physics and in finance.
THIERRY FOUCAULT is Professor of Finance at HEC, Paris where he
received his PhD in Finance. He is a research fellow of the Centre for
Economic Policy. His research focuses on the determinants of financial
markets liquidity and the industrial organization of the securities
industry. His work has been published in top-tier scientific journals,
including the Journal of Finance, the Journal of Financial Economics,
and the Review of Financial Studies. He acts as co-editor of the
Review of Finance and he is an Associate Editor of the Review of Asset
Pricing Studies. For his research, he received awards from the
Europlace Institute of Finance in 2005 and 2009, the annual research
prize of the HEC Foundation in 2006 and 2009, and the Analysis Group
award for the best paper on Financial Markets and Institutions
presented at the 2009 Western Finance Association meetings.
CHARLES-ALBERT LEHALLE is the Head of Quantitative Research at
CA Cheuvreux and is an international expert in optimal trading. He
published papers in international journals about the use of stochastic
control and stochastic algorithms to optimise a trading flow with
respect to flexible contraints. He also authored papers on post trade
analysis, market impact estimates and modelling the dynamics of limit
order books. He lectures at Paris 6 (El Karoui) Master of Finance
(École Polytechnique, ESSEC, École Normale Supérieure) and
MASEF/ENSAE, and gives master classes in the Certificate in
Quantitative Finance in London. He holds a PhD in Applied Mathematics
and his core fields are stochastic processes, information theory and
nonlinear control.
MATHIEU ROSENBAUM gained is PhD from University Paris-Est. He
is now Professor at University Pierre et Marie Curie (Paris 6) and
École Polytechnique and is a member of the CREST (Center of Research
in Economics and Statistics). His research mainly focuses on
statistical finance problems, such as market microstructure modeling
or designing statistical procedures for high frequency data. He also
has research collaborations with several financial institutions, in
particular BNP Paribas.
