Contents
Part I: Economic Microstructure Theory
1: Algorithmic Trading: Issues and Preliminary Evidence
1.2 WHAT IS ALGORITHMIC TRADING?
1.3 MARKET STRUCTURE AND ALGORITHMIC TRADING
1.4 COSTS AND BENEFITS OF ALGORITHMIC TRADING
2: Order Choice and Information in Limit Order Markets
2.2 ORDER CHOICE WITH SYMMETRIC INFORMATION
2.3 ORDER CHOICE WITH ASYMMETRIC INFORMATION
2.4 THE INFORMATION CONTENT OF ORDERS
2.5 QUESTIONS FOR FUTURE RESEARCH
Part II: High Frequency Data Modeling
3: Some Recent Results on High Frequency Correlation
3.5 INTRADAY SEASONALITY OF CORRELATION
4: Statistical Inference for Volatility and Related Limit Theorems
4.2 QLA FOR AN ERGODIC DIFFUSION PROCESS
4.3 QLA FOR VOLATILITY IN THE FINITE TIME-HORIZON
4.4 NONSYNCHRONOUS COVARIANCE ESTIMATION
4.5 YUIMA II FOR STATISTICAL ANALYSIS AND SIMULATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS
4.6 HIGHER ORDER ASYMPTOTICS AND FINANCE
5: Models for the Impact of All Order Book Events
5.2 A SHORT SUMMARY OF MARKET ORDER IMPACT MODELS
5.4 MODEL CALIBRATION AND EMPIRICAL TESTS
6.2 MARKET ENVIRONMENT AND DATA
6.3 MAJOR ORDER FLOW AND ORDER BOOK CHARACTERISTICS
6.4 AN ECONOMETRIC MODEL FOR THE MARKET IMPACT OF LIMIT ORDERS
Introduction: Trading and Market Micro-structure
An on-going increase of computer-driven trading
Early academic answers and old practices
New practical needs and academic recent advances
7: Collective Portfolio Optimization in Brokerage Data: The Role of Transaction Cost Structure
7.4 THE INFLUENCE OF TRANSACTION COSTS ON TRADING BEHAVIOR FROM OPTIMAL MEAN-VARIANCE PORTFOLIOS
8: Optimal Execution of Portfolio Transactions with Short-Term Alpha
8.2 SHORT-TERM ALPHA DECAY AND HIDDEN ORDER ARBITRAGE THEORY