Market Microstructure and Nonlinear Dynamics Keeping Financial Crisis in Context

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 microst...

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Bibliographic Details
Other Authors: Dufrénot, Gilles (Editor), Jawadi, Fredj (Editor), Louhichi, Waël (Editor)
Format: eBook
Published: Cham Springer International Publishing 2014, 2014
Edition:1st ed. 2014
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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.