Frédéric Abergel & Jean-Philippe Bouchaud 
Market Microstructure [PDF ebook] 
Confronting Many Viewpoints

Introduction
About the editors
About the contributors
Part I. Economic microstructure theory
1. Algorithmic trading: issues and preliminary evidence
T. Foucault
2. Order Choice and Information in Limit Order Markets
I. Rosu
Part II. High frequency data modeling
3. Some Recent Results on High Frequency Correlation
F. Abergel, N. Huth
Part III. Market impact
4. Models for the impact of all order book events
Z. Eisler, J.-P. Bouchaud, J. Kockelkoren
5. Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ ITCH Data
N. Hautsch, R. Huang
Part IV. Optimal trading
6. Collective portfolio optimization in brokerage data: the role of transaction cost structure
D. Challet, D. Morton del a Chappelle
7. Optimal execution of portfolio transactions with short-alpha
A. M. Criscuolo, H. Waelbroeck
Bibliography
Index

FRÉDÉRIC ABERGEL graduated from École
Normale Supérieure with a Ph D in Mathematics. He started an
academic career as a researcher with the CNRS. He spent ten years
in the Mathematics department of the University of Orsay Paris XI
and then switched to the capital markets industry and became a
quantitative analyst. He has worked for trading floors in various
financial institutions, mainly in the derivatives sector,
developing pricing and hedging models. He now holds the BNP Paribas
Chair of Quantitative Finance at École Centrale Paris. His
research focuses on the study of empirical properties and
mathematical models of market microstructure, high frequency data,
algorithmic trading.
JEAN-PHILIPPE BOUCHAUD graduated from the École
Normale Supérieure in Paris, where he also obtained his Ph D in
physics. He was then appointed by the CNRS. After a year spent in
the Cavendish Laboratory, he joined the Service de Physique de
l’Etat Condensé, where he worked on the dynamics of
glassy systems and on granular media. His work in finance includes
extreme risk models, agent based simulations, market microstructure
and price formation. He went on to found the company Science &
Finance that merged with Capital Fund Management. He is now the
President and Head of Research at CFM, and professor at École
Polytechnique. He has published over 250 scientific papers and
several books in physics and in finance.
THIERRY FOUCAULT is Professor of Finance at HEC, Paris
where he received his Ph D in Finance. He is a research fellow of
the Centre for Economic Policy. His research focuses on the
determinants of financial markets liquidity and the industrial
organization of the securities industry. His work has been
published in top-tier scientific journals, including the Journal of
Finance, the Journal of Financial Economics, and the Review of
Financial Studies. He acts as co-editor of the Review of Finance
and he is an Associate Editor of the Review of Asset Pricing
Studies. For his research, he received awards from the Europlace
Institute of Finance in 2005 and 2009, the annual research prize of
the HEC Foundation in 2006 and 2009, and the Analysis Group award
for the best paper on Financial Markets and Institutions presented
at the 2009 Western Finance Association meetings.
CHARLES-ALBERT LEHALLE is the Head of Quantitative
Research at CA Cheuvreux and is an international expert in optimal
trading. He published papers in international journals about the
use of stochastic control and stochastic algorithms to optimise a
trading flow with respect to flexible contraints. He also authored
papers on post trade analysis, market impact estimates and
modelling the dynamics of limit order books. He lectures at Paris 6
(El Karoui) Master of Finance (École Polytechnique, ESSEC,
École Normale Supérieure) and MASEF/ENSAE, and gives
master classes in the Certificate in Quantitative Finance in
London. He holds a Ph D in Applied Mathematics and his core fields
are stochastic processes, information theory and nonlinear
control.
MATHIEU ROSENBAUM gained is Ph D from University
Paris-Est. He is now Professor at University Pierre et Marie Curie
(Paris 6) and École Polytechnique and is a member of the CREST
(Center of Research in Economics and Statistics). His research
mainly focuses on statistical finance problems, such as market
microstructure modeling or designing statistical procedures for
high frequency data. He also has research collaborations with
several financial institutions, in particular BNP Paribas.