Topics In Market Microstructure
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Topics In Market Microstructure
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Author : Ilija I. Zovko
language : en
Publisher: Amsterdam University Press
Release Date : 2008-09-01
Topics In Market Microstructure written by Ilija I. Zovko and has been published by Amsterdam University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-01 with Business & Economics categories.
Market microstructure is a study of the processes through which the investors predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated yet very well documented by data system of a large number of interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors strategies and the resulting aggregate properties of transaction prices.
Market Microstructure
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Author : Frédéric Abergel
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-14
Market Microstructure written by Frédéric Abergel and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-14 with Business & Economics categories.
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, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Market Microstructure In Emerging And Developed Markets
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Author : H. Kent Baker
language : en
Publisher: John Wiley & Sons
Release Date : 2013-07-31
Market Microstructure In Emerging And Developed Markets written by H. Kent Baker and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-31 with Business & Economics categories.
A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
Topics In Market Microstructure
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Author : Omar Abdulkarim
language : en
Publisher:
Release Date : 2019
Topics In Market Microstructure written by Omar Abdulkarim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Market Microstructure Theory
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Author : Maureen O'Hara
language : en
Publisher: John Wiley & Sons
Release Date : 1998-03-06
Market Microstructure Theory written by Maureen O'Hara and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-03-06 with Business & Economics categories.
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Market Microstructure In Emerging And Developed Markets
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Author : H. Kent Baker
language : en
Publisher: Wiley
Release Date : 2013-08-26
Market Microstructure In Emerging And Developed Markets written by H. Kent Baker and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-26 with Business & Economics categories.
A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
Topics In Financial Market Microstructure
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Author :
language : en
Publisher:
Release Date : 2001
Topics In Financial Market Microstructure written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Carbon Markets
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Author : Gbenga Ibikunle
language : en
Publisher: Springer
Release Date : 2018-02-26
Carbon Markets written by Gbenga Ibikunle and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-26 with Business & Economics categories.
This book explores the microstructure of carbon markets and the pricing of carbon financial instruments generally. It provides a critical microstructure analysis of the EU Emissions Trading Scheme (EU-ETS), and also examines the theoretical and related market design issues affecting emissions trading schemes. Individual chapters analyse how intraday pricing evolves in carbon markets, the price impact of block trades in carbon financial instruments and their determinants, short and long-term liquidity effects in carbon markets, and the links between carbon market liquidity and efficiency. The aforementioned issues are explored using case studies of two major trading platforms operating within the EU-ETS. The book concludes by focusing on future policy and regulatory challenges in carbon markets, especially with respect to addressing pricing volatility challenges.
Market Microstructure
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Author : Ananth Madhavan
language : en
Publisher:
Release Date : 2000
Market Microstructure written by Ananth Madhavan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Market microstructure is the area of finance that studies the process by which investors' latent demands are ultimately translated into prices and volumes. This paper provides a detailed review of the theoretical, empirical and experimental literature on market microstructure with a special focus on informational issues relating to: (1) Price formation and price discovery, including both static issues such as the determinants of trading costs and dynamic issues such the process by which prices come to impound information over time, (2) Market structure and design, including the relation between price formation and trading protocols, (3) Information and disclosure, especially the topic of market transparency, i.e., the ability of market participants to observe information about the trading process, and (4) Interface of market microstructure with other areas of finance including asset pricing, international finance, and corporate finance. I discuss the implications of recent research for investors, policy makers, and regulators, and identify some directions for future research.
Topics In Asset Pricing And Market Microstructure
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Author : Anna Amirdjanova
language : en
Publisher:
Release Date : 2015
Topics In Asset Pricing And Market Microstructure written by Anna Amirdjanova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This dissertation addresses various aspects of asset pricing theory in the following three contexts: the case of insider trading (of stocks) with uninformed biased traders, the case of trading of real options (specifically, of the option to sell a real indivisible asset), and the case of house pricing and construction of better house price indices. Chapter 1 examines the effects of insider trading on uninformed traders with bounded rationality in the context of a continuous-time Kyle-type model with a single perfectly informed risk-neutral agent (insider), a competitive risk-neutral market maker and a set of biased uninformed traders. Two cases of behavioral biases or bounded rationality on the part of the uninformed traders are considered. In the first case the uninformed traders' order flow has a non-zero covariation with a set of public signals (where positive covariation describes aggregate momentum strategies among the uninformed investors in reaction to news, while negative covariation indicates that the uninformed traders are predominantly contrarians). In the second case, the order flow from the uninformed traders has a strictly positive or a strictly negative covariance between its increments and is no longer Markov. The equilibrium strategy of the insider, taking into account such biases, is derived in both cases and the effects of the biases on the equilibrium price of the underlying asset are considered. The question of whether such biases benefit or harm the uninformed traders is answered. In Chapter 2 a class of mixed stochastic control/optimal stopping problems arising in the problem of finding the best time to sell an indivisible real asset, owned by a risk averse utility maximizing agent, is considered. The agent has power type utility based on the $\ell_{\alpha}$-type aggregator and has access to a frictionless financial market which can be used to partially hedge the risk associated with the real asset if correlations between the financial assets and the real asset value are nonzero. The solution to the problem of finding the optimal time to sell the real asset is characterized in terms of solution to a certain free boundary problem. The latter involves a nonlinear partial differential equation and includes, as special case with $\alpha=1$, the Hamilton-Jacobi-Bellman equation found in {Evans, Henderson, Hobson, 2008}. Comparisons with the case of exponential utility are also given. Due to lack of data, the U.S. primarily uses repeat-sales indices to measure real-estate returns, despite the serious shortcomings of these indices. Making use of a newly available data set that contains both time-varying characteristics for all properties in the U.S. and transaction details for those properties that traded, in Chapter 3 a new hedonic house-price index is developed that overcomes these shortcomings by allowing house prices and returns to depend on house characteristics and on local and national macroeconomic factors. The index is estimated using Markov Chain Monte Carlo (MCMC) linear filtering techniques and results in significant differences, in both the level and volatility of prices, between the new estimates and those from the Federal Housing Finance Board's weighted-repeat-sales (WRS) price index. This suggests that the new index is significantly superior to repeat-sales indices as a measure of U.S. real-estate returns for economic forecasting, mortgage valuation, and bank stress tests.