Market Microstructure (ePub)

FRÉDÉRIC ABERGEL graduated from École
Normale Supérieure with a PhD in Mathematics. He started an
academic career as a researcher with the CNRS. He spent ten years
in the Mathematics department of the University of Orsay Paris XI
and then switched to the capital markets industry and became a
quantitative analyst. He has worked for trading floors in various
financial institutions, mainly in the derivatives sector,
developing pricing and hedging models. He now holds the BNP Paribas
Chair of Quantitative Finance at École Centrale Paris. His
research focuses on the study of empirical properties and
mathematical models of market microstructure, high frequency data,
algorithmic trading.

JEAN-PHILIPPE BOUCHAUD graduated from the École
Normale Supérieure in Paris, where he also obtained his PhD in
physics. He was then appointed by the CNRS. After a year spent in
the Cavendish Laboratory, he joined the Service de Physique de
l'Etat Condensé, where he worked on the dynamics of
glassy systems and on granular media. His work in finance includes
extreme risk models, agent based simulations, market microstructure
and price formation. He went on to found the company Science &
Finance that merged with Capital Fund Management. He is now the
President and Head of Research at CFM, and professor at École
Polytechnique. He has published over 250 scientific papers and
several books in physics and in finance.

THIERRY FOUCAULT is Professor of Finance at HEC, Paris
where he received his PhD in Finance. He is a research fellow of
the Centre for Economic Policy. His research focuses on the
determinants of financial markets liquidity and the industrial
organization of the securities industry. His work has been
published in top-tier scientific journals, including the Journal of
Finance, the Journal of Financial Economics, and the Review of
Financial Studies. He acts as co-editor of the Review of Finance
and he is an Associate Editor of the Review of Asset

Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.