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- Product code: 16303
- ISBN: 0631207619,
ISBN13: 9780631207610,
304 pages, paperback
Published by Blackwell Publishers on 1997
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Description of Market Microstructure Theory |
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.After an introduction to the general issues and problems in market microstructure, the book examines the main theoretical models developed to address inventory-based issues. There is then an extensive examination and discussion of the information-based models, with particular attention paid to the linkage with rational expectations model and learning models. The concluding chapters are concerned with price dynamics and with applications of the various models to specific microstructure problems including: Liquidity. Multi-market trading. Market structure. Market Design Market Microstructure Theory includes extensive appendices developing Bayesian learning and the rational expectations framework.
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Contents of Market Microstructure Theory |
1: Markets and Market Making
Prices and Markets
The Nature of Markets
2: Inventory Models
Order Arrival and Market Making
The Dealer's Problem
The Inter Temporal Role of Inventory
Prices and Inventories in Competitive Markets
Inventory Models and Market Maker Behaviour
3: Information-Based Models
Informed Traders and Uninformed Traders
The Information Content of Trades
The Glosten-Milgrom Model
Trade Quantities and Price Behaviour
Sequential Trade Models and Price Behaviour
4: Strategic Trader Models
The Strategic Behaviour of an Informed Traders
Price Behaviour and Multiple Informed Traders
Strategic Behaviour and the Trading Mechanism
5: Strategic Trader Models 11
Strategic Behaviour and Uninformed Traders
Strategic Behaviour and Long-Lived Information
Strategic Behaviour and Security Returns
The robustness of Strategic Models
6: Information and the Price Process
Information and the sequence of prices
The Volume Critique
The Role of Time in Price Adjustment
7: Market Viability and Stability
Information and Market Viability
Order Form and Price Behaviour
Policy Issues in Market Structure
8: Liquidity and the Relationship Between Markets
The Nature of Liquidity
Endogenous Liquidity and Market Performance
Block Trades and Alternative Trading Mechanisms
Information and Multi market Activity
9: Issues in Market Performance
Market Transparency
Trader Anonymity
How to Design a Market?
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