Market Microstructure and Nonlinear Dynamics Keeping Financial Crisi
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 microstru
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Market Microstructure and Nonlinear Dynamics Keeping Financial Crisis in Context
Market Microstructure and Nonlinear Dynamics
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Gilles Dufre´not • Fredj Jawadi • Wae¨l Louhichi Editors
Market Microstructure and Nonlinear Dynamics Keeping Financial Crisis in Context
Editors Gilles Dufre´not GREQAM/DEFI Aix-Marseille University Les Milles France
Fredj Jawadi University of Evry Evry France
Wae¨l Louhichi ESSCA School of Management Boulogne-Billancourt France
ISBN 978-3-319-05211-3 ISBN 978-3-319-05212-0 (eBook) DOI 10.1007/978-3-319-05212-0 Springer Cham Heidelberg New York Dordrecht London Library of Congress Control Number: 2014944558 © Springer International Publishing Switzerland 2014 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
Overview The financial markets have experienced important and rapid developments since the end of the eighties. Such an evolution has several causes. On the one hand, the markets have been liberalized, deregulated, and integrated thanks to the increase of capital mobility and the volume of foreign investments in international equity markets. The deregulation of financial markets and the favorable monetary policies implied a decrease in the investor’s risk premium and an increase in their investm
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