Title: Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues Around the Global Financial Crisis (Hardback or Cased Book)
Publisher: Palgrave Pivot 3/12/2014
Publication Date: 2014
Language: English
ISBN 10: 1137432608
ISBN 13: 9781137432605
Binding: Hardback or Cased Book
Condition: New
Weight: 0.58 pounds
Book Type: Book

About this title

Synopsis

Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. By relating liquidity to jump activity, market microstructure noise variance, and average pairwise correlation, Vuorenmaa uncovers the dynamics and ramifications behind anonymous trades made outside of public exchanges, and measures its impact on the crisis. This volume is ideal for academics, students, and practitioners alike, who are interested in investigating the role of lost time in and after the recession.

About the Author

Tommi Vuorenmaa is Head of Research and a founding member of Valo Research and Trading Ltd., an automated trading company based in Helsinki, Finland. At Valo, Vuorenmaa leads trading strategy development with heavy emphasis on research using his expertise in financial econometrics.

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