Market Microstructure and Nonlinear Dynamics

Keeping Financial Crisis in Context

  • Gilles Dufrénot
  • Fredj Jawadi
  • Waël Louhichi

Table of contents

About this book


This book discusses market microstructure environment within the context of the global financial crisis and investigates the recent econometric tools toimprove financial markets dynamics in calm and turbulent times. In the first part, the market microstructure theory is examined and the main microstructure models and hypotheses are discussed. In particular, contributors focus on themain effects of the financial downturn through an examination of marketmicrostructure dynamics, the limitations associated with standard microstructure models and the investigation of ways to improve such models.

Interestingly, promising analyses based on recent high-frequency data and sophisticated models discuss new regulations, and recent developments for financial markets are provided in order to improve the understating of market microstructure evolution. As for the second part, this book focuses on Nonlinear Dynamics. Through interesting contributions concerning stock markets, exchange rate and bond markets, authors propose several new specifications to improve the modelling of key financial variables such as return, risk premium, risk, etc. Also, this part provides interesting explanations of the effects and the consequences of high-level linkages between financial markets. Finally, while analyzing the effect of the recent global financial crisis and the reaction function of investors, markets and institutions, authors specify the appropriate way to better forecast financial markets dynamics and improve investment and financial decisions. For both parts, well-known experts on market microstructure and nonlinear econometrics contribute to the chapters in the book.

This book is strongly recommended for academic researchers, students and quantitative practitioners.


Algorithmic Trading Financial Crisis High Frequency Trading Market Microstructure Order Book Dynamics

Editors and affiliations

  • Gilles Dufrénot
    • 1
  • Fredj Jawadi
    • 2
  • Waël Louhichi
    • 3
  1. 1.GREQAM/DEFIAix-Marseille UniversityLes MillesFrance
  2. 2.University of EvryEvryFrance
  3. 3.ESSCA School of ManagementBoulogne-BillancourtFrance

Bibliographic information

  • DOI
  • Copyright Information Springer International Publishing Switzerland 2014
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-05211-3
  • Online ISBN 978-3-319-05212-0
  • Buy this book on publisher's site
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