Market Microstructure and Nonlinear Dynamics

This book discussesmarket microstructure environment within the context of the global financial crisis.In the first part,the market microstructure theory is recalledandthe 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, thenew 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 foracademic researchers, students andquantitative practitioners.