The latest cutting-edge research on market microstructure Based on the December 2010
conference on market microstructure, organized with the help of the Institut Louis Bachelier …

We investigate the role of execution quality in portfolio performance attribution. We show
how conventional Transaction Cost Analysis (TCA) rewards behavioral trading practices that …

This article presents a simple method for a posteriori (historical) multivariate, multistage
optimal trading under transaction costs and a diversification constraint. Starting from a given …

This article reviews the roles and importance of trading benchmarks in transition
management, with particular reference to their use in the attribution of implementation …

In recent years, we have witnessed an increasing use of quantitative modeling tools and
data processing infrastructure by high frequency trading firms and automated market …

The article derives a model with a closed form solution for valuing default swaps including
reference asset—counterparty default correlation. The default correlation between the …

Rezime: Pri razvoju i proizvodnji novih materijala i elemenata eksperiment ima značajnu
ulogu. Pristup eksperimentalnom istraživanju ne može se zamisliti bez upotrebe dizajna …

Algorithmic trading is an automated process of order execution on electronic stock markets.
It can be applied to a broad range of financial instruments, and it is characterized by a …

Στο σημερινό πολύπλοκο περιβάλλον της παγκοσμιοποίησης, του συνεχώς εντεινόμενου
ανταγωνισμού, της απελευθέρωσης των αγορών και των ραγδαίων εξελίξεων στο διεθνές …