Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context [Paperback]

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.Market Fragmentation and Market Quality: The European Experience.- Pre-trade Transparency and the Information Content of the Limit Order Book.- Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets.- News Trader, Liquidity and Transaction Cost.- What Moves Euro-Bund Futures Contracts on Eurex? Surprises!- Individual Investors' Trading Activities and Price Volatility.- Finance and Growth Causality: Empirical Evidence for Emerging Europe.- Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area.- Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone (Application of ARCH/GARCH/EGARCH).- Shift-Volatility Transmission in East Asian Equity Markets:?New Indicators.- Transaction Costs and Nonlinear Modelling of Real Exchange Rate Deviations from Purchasing Power Parity: Evidence from the MENA Region.?

Gilles Dufr?not is currently Professor of Economics at the Aix-Marseille University. He worked as a consultant for International Organizations, central banks and governments in the fields of policymaking (IMF, European Commission WAEMU Commission, African DevelS