Market Microstructure in Practice 1st Edition
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The title of this book reflects perfectly the intentions of the authors. Many academics treat market structure as if they are watching a football game - from the outside, commenting each player's actions and the consequences..missing the key operational points and leaving to management the final step between concepts and reality. -- Roland Bellegarde "Group Executive Vice President & Head of European Execution, NYSE Euronext, Paris"
Today, there is so much confusion on the actual functioning of capital markets, the impact of regulation, MiFiD in Europe and Reg NMS in the US, on market fragmentation and liquidity, the role of dark pools, of high-frequency traders in providing liquidity and bridging fragmented trading platforms. -- Michel Crouhy "Head of Research & Development at Natixis, Paris"
Lehalle and Laruelle bring [their] experience to bear on every aspect of the discussion, as well as deep quantitative understanding. The resulting book is a unique mixture of real market knowledge and theoretical explanation. There is nothing else out there like it, and this book will be a central resource for many different market participants. -- Robert Almgren "President and Cofounder of Quantitative Brokers, New York"
This book provides a perspective on today's markets. It reviews institutional changes, discusses them, and provides color through real-world examples. -- Albert J Menkveld "Professor of Finance at VU University Amsterdam & Research Fellow at TI-Duisenberg School of Finance"
From the Back Cover
- Publisher : World Scientific Publishing Company; 1st edition (November 5, 2013)
- Language : English
- Hardcover : 332 pages
- ISBN-10 : 9814566160
- ISBN-13 : 978-9814566162
- Item Weight : 1.35 pounds
- Dimensions : 6 x 0.75 x 9 inches
- Best Sellers Rank: #2,865,108 in Books (See Top 100 in Books)
- Customer Reviews:
Top reviews from the United States
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Deals with reality of electronic and fragmented markets: Liquidity estimate from pre-trade transparency is not deterministic.
A balanced look at fragmentation (Europe), a careful study of liquidity beyond bid-ask spreads, tick sizes and competition.
HFT seen as business model and part of fragmented system, with positive and negative consequences (not as moral judgement).
Good studies with real data from Cheuvreaux; coverage is quite up-to-date (5/9)
Coverage of fragmentation in the US is sparse; not much about behaviour in ms or seconds
Problems with charts: Fig 1.14 is not what it should be, 2.12a points cannot be distinguished as they should.
Some charts (like 2.8 b) are hard to read because they’re printed as black x dark gray lines (8/9)
Conclusion: “Market Microstructure in Practice” is worth buying for what it says and for the references
Charles-Albert Lehalle has the buy and sell side practitioner experience that most of people writing books/articles on this subject do not have.