Market Microstructure

Zhaodong Wang and Weian Zheng

Chapter 2 in High-Frequency Trading and Probability Theory, 2014, pp 7-36 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Algorithms of high-frequency trading (HFT) are heavily based on the market. A profitable algorithm in one market may not work in another market. That is the reason why we need to study the market microstructure on which our algorithms are based.

Keywords: High-Frequency Trading; Algorithm Trading; Program Trading; Technical Analysis (search for similar items in EconPapers)
Date: 2014
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