High Frequency Trading and Limit Order Book Dynamics
Sold by Majestic Books, Hounslow, United Kingdom
AbeBooks Seller since 19 January 2007
New - Hardcover
Condition: New
Ships from United Kingdom to U.S.A.
Quantity: 3 available
Add to basketSold by Majestic Books, Hounslow, United Kingdom
AbeBooks Seller since 19 January 2007
Condition: New
Quantity: 3 available
Add to basketpp. 320 This item is printed on demand.
Seller Inventory # 95235851
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics.
This book was originally published as a special issue of European Journal of Finance.
Ingmar Nolte is a Reader in Finance at Lancaster University, UK. He held positions before at the University of Warwick, UK, and the University of Konstanz, Germany. His core research area is Financial Econometrics; he has published articles in the leading journals including the Journal of Business & Economics Statistics, Journal of Financial Econometrics and the Journal of Applied Econometrics.
Mark Salmon is Senior Scientist at BHDG Systematic Trading and has been a Visiting Professor at Cambridge University, UK, for the last three years Prior to joining BHDG he was Professor of Finance at Warwick Business School, UK, and prior to that a Professor at Cass Business School, UK, and the European University Institute, Italy. He has published widely in Finance, Economics, Econometrics and Statistics with papers in Econometrica, The Annals of Statistics, The Journal of Econometrics, The Economic Journal, The Journal of Financial Markets, The Journal of Empirical Finance amongst other places. He has also consulted with a number of financial institutions for many years and was an advisor at the Bank of England for six years.
Chris Adcock is Professor of Financial Econometrics at the University of Sheffield, UK, and visiting Professor of Quantitative Finance at the University of Southampton, UK. Research interests are in portfolio selection, asset pricing theory and the development of quantitative techniques for portfolio management. He has acted as advisor to several international investment managers. He is founding editor of The European Journal of Finance and has been associate editor of several finance journals and Series C and D of the Journal of the Royal Statistical Society. Current research projects are in downside risk, portfolio selection, skewness and option returns, with collaborations with universities in the UK, the European Union and China.
"About this title" may belong to another edition of this title.
Returns accepted if you are not satisfied with the Service or Book.
If you are a consumer you can cancel the contract in accordance with the following. Consumer means any natural person who is acting for purposes which are outside his trade, business, craft or profession.
INFORMATION REGARDING THE RIGHT OF CANCELLATION
Statutory Right to cancel
You have the right to cancel this contract within 14 days without giving any reason.
The cancellation period will expire after 14 days from the day on which you acquire, or a third party other than the carrier and indicated by you acquires, physical possession of the the last good or the last lot or piece.
To exercise the right to cancel, you must inform us, Majestic Books, 315 Chiswick High Road, W4 4HH, London, ,, United Kingdom, +44 02085704746, of your decision to cancel this contract by a clear statement (e.g. a letter sent by post, fax or e-mail). You may use the attached model cancellation form, but it is not obligatory. You can also electronically fill in and submit a clear statement on our website, under "My Purchases" in "My Account". If you use this option, we will communicate to you an acknowledgement of receipt of such a cancellation on a durable medium (e.g. by e-mail) without delay.
To meet the cancellation deadline, it is sufficient for you to send your communication concerning your exercise of the right to cancel before the cancellation period has expired.
Effects of cancellation
If you cancel this contract, we will reimburse to you all payments received from you, including the costs of delivery (except for the supplementary costs arising if you chose a type of delivery other than the least expensive type of standard delivery offered by us).
We may make a deduction from the reimbursement for loss in value of any goods supplied, if the loss is the result of unnecessary handling by you.
We will make the reimbursement without undue delay, and not later than 14 days after the day on which we are informed about your decision to cancel with contract.
We will make the reimbursement using the same means of payment as you used for the initial transaction, unless you have expressly agreed otherwise; in any event, you will not incur any fees as a result of such reimbursement.
We may withhold reimbursement until we have received the goods back or you have supplied evidence of having sent back the goods, whichever is the earliest.
You shall send back the goods or hand them over to us or Majestic Books, 315 Chiswick High Road, W4 4HH, London, ,, United Kingdom, +44 02085704746, without undue delay and in any event not later than 14 days from the day on which you communicate your cancellation from this contract to us. The deadline is met if you send back the goods before the period of 14 days has expired. You will have to bear the direct cost of returning the goods. You are only liable for any diminished value of the goods resulting from the handling other than what is necessary to establish the nature, characteristics and functioning of the goods.
Exceptions to the right of cancellation
The right of cancellation does not apply to:
Model withdrawal form
(complete and return this form only if you wish to withdraw from the contract)
To: (Majestic Books, 315 Chiswick High Road, W4 4HH, London, ,, United Kingdom, +44 02085704746)
I/We (*) hereby give notice that I/We (*) withdraw from my/our (*) contract of sale of the following goods (*)/for the provision of the following goods (*)/for the provision of the following service (*),
Ordered on (*)/received on (*)
Name of consumer(s)
Address of consumer(s)
Signature of consumer(s) (only if this form is notified on paper)
Date
* Delete as appropriate.
Best packaging and fast delivery
| Order quantity | 14 to 45 business days | 5 to 10 business days |
|---|---|---|
| First item | £ 6.50 | £ 9.85 |
Delivery times are set by sellers and vary by carrier and location. Orders passing through Customs may face delays and buyers are responsible for any associated duties or fees. Sellers may contact you regarding additional charges to cover any increased costs to ship your items.