Unité mixte de recherche 7235

Market Microstructure and Nonlinear Dynamics

De Dufrénot, Gilles, Jawadi, Fredj, Louhichi, Waël (Eds.) ISBN : 978-3-319-05211-3 267 p. (2014)

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 microstructure models and hypotheses are discussed. In particular, contributors focus on themain effects of the financial downturn through an examination of marketmicrostructure dynamics, the limitations associated with standard microstructure models and the investigation of ways to improve such models.

Interestingly, promising analyses based on recent high-frequency data and sophisticated models discuss new regulations, and recent developments for financial markets are provided in order to improve the understating of market microstructure evolution. As for the second part, this book focuses on Nonlinear Dynamics. Through interesting contributions concerning stock markets, exchange rate and bond markets, authors propose several new specifications to improve the modelling of key financial variables such as return, risk premium, risk, etc. Also, this part provides interesting explanations of the effects and the consequences of high-level linkages between financial markets. Finally, while analyzing the effect of the recent global financial crisis and the reaction function of investors, markets and institutions, authors specify the appropriate way to better forecast financial markets dynamics and improve investment and financial decisions. For both parts, well-known experts on market microstructure and nonlinear econometrics contribute to the chapters in the book.


lundi 28 novembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Marianne Lumeau (CREM, Université de Rennes I)

En salle 614 et en distanciel

American bias in a local music streaming market: curation push vs. preference pull

mardi 29 novembre 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Adriano do Vale (Université de Poitiers) et Léo Malherbe (Université Université de Picardie Jules Verne)

Shedding light on a Blind Spot: New empirical evidence on the Accountability of the EuroSystem National Central Banks

mardi 29 novembre 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Thomas Douenne (Univ. Amsterdam), Albert Jan Hummel (Univ. Amsterdam), Marcelo Pedroni (Univ. Amsterdam)

Optimal Fiscal Policy in a Climate-Economy Model with Heterogeneous Households

jeudi 1 décembre 2022


Nicolas de Roux

Capturing international influences in US monetary policy through a NLP approach

lundi 5 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Vincent Lefrère (Institut Mines Telecom)

En salle 614 et en distanciel

Privacy, Data and Competition: The Case of Apps For Young Children

mardi 6 décembre 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Eric Monnet (EHESS et PSE)

Le rôle d’amortisseur des banques centrales – une perspective historique

jeudi 8 décembre 2022


Guillaume Pierné

12h - 13h, salle 110


lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

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