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.

AGENDA

jeudi 1 septembre 2022

Professeurs invités

Stéphane Méchoulan

lundi 12 septembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Stéphane Méchoulan (Dalhousie U)

En salle 614 et en distanciel

Revisiting the effects of abortion legalization

mercredi 14 septembre 2022

Colloques et Workshops

Roundtable on Gender-based violence in South Africa

vendredi 16 septembre 2022

Colloques et Workshops

Tables rondes de macro-finance contemporaine

lundi 19 septembre 2022

Colloques et Workshops

Valeur, valeurs

jeudi 22 septembre 2022

Lunch

Stéphane Méchoulan

TBA

lundi 26 septembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Marie Layoun (U Panthéon Assas)

En salle 614 et en distanciel

Electricity shortage and municipal elections: Evidence from Lebanon

jeudi 29 septembre 2022

Doctorants

Milien Dhorne

TBA

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