Market Microstructure and Liquidity

Published by: World Scientific

Editor(s): Charles-Albert Lehalle, Capital Fund Management, Damien Challet, CentraleSupélec, Jean-Philippe Bouchaud, Capital Fund Management, Mathieu Rosenbaum, University Pierre and Marie Curie (Paris 6), and Umut Cetin, London School of Economics and Political Science

Market Microstructure and Liquidity has been created from the strong belief that a deep understanding of market microstructure requires academic and practitioner approaches to the topic to be brought together. This idea has been largely confirmed by the success of the biennial conference, “Market Microstructure, Confronting Many Viewpoints”, which was inaugurated in Paris in 2010.

The aim of the journal is to become the leading forum on market microstructure related issues (in a very broad sense) such as market design, regulation, high frequency trading, statistics of high frequency data, order books dynamics and liquidity effects at every time scale, intraday derivatives hedging and portfolio management.

One of the main goals of Market Microstructure and Liquidity is to bridge the gap between academia and industry on these topics. Hence, the editorial board of the journal consists of top academic researchers from at least five different communities (economics, financial mathematics, econometrics, statistics and econophysics), together with an industry advisory board, which consists of practitioners from some of the most important investment banks, hedge funds and exchanges, and regulators from international agencies. We believe the role of an industry advisory board is crucial in identifying important and challenging research topics.

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