High Frequency Trading and Limit Order Book Dynamics (Hardcover)

1. Introduction 2. Limit order books and trade informativeness 3. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 4. A simple two-component model for the distribution of intraday returns 5. Liquidity determination in an order-driven market 6. Exchange rate determination and inter-market order flow effects 7. Permanent trading impacts and bond yields 8. High-frequency information content in end-user foreign exchange order flows 9. A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach 10. How do individual investors trade? 11. On the hidden side of liquidity 12. Price discovery in spot and futures markets: a reconsideration 13. Optimal informed trading in the foreign exchange market 14. The impact of aggressive orders in an order-driven market: a simulation approach