Market microstructure theory and strategic behavior of market makers:
Gespeichert in:
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2000
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 375 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Market Microstructure Theory and
Strategic Behavior of Market Makers
Doctoral Thesis
Presented to the Faculty of Economic and Social Sciences at the
University of Fribourg (Switzerland) to obtain the doctorate degree in
Economic and Social Sciences
by
Andreas Krause
Accepted by the Faculty of Economic and Social Sciences on 12th October 2000 on
the recommendation of
Professor Dr Gerhard Aschinger (First Adviser)
and
Professor Dr Christoph Kaserer (Second Adviser)
Bath, Great Britain 2000
• - : • : * !
Contents
List of Figures vii
List of Tables ix
List of Abbreviations xi
1 Introduction - 1
1 1 The Christie-Schultz debate 2
1 2 The importance of transaction costs 4
1 3 Framework of the analysis 6
1 4 Organization of the work 7
2 The organization of trading in stock markets 11
2 1 Definitions 12
2 2 The importance of organized stock markets 15
2 3 The different market forms 18
2 4 Market participants and order submission 26
2 5 Trading priority rules 30
2 6 Electronic trading mechanisms 32
2 7 Recent developments 35
3 The NASDAQ Stock Market 39
3 1 History of the NASDAQ Stock Market 40
3 2 The organization of the NASD 47
3 3 Listing requirements 50
3 4 Registration as broker and market maker 52
3 5 Trading rules 54
3 6 Summary 59
iv Contents
4 Market microstructure theory 61
4 1 The emergence of different market forms 63
411 Demand and supply of immediacy 64
412 Determination of the optimal market form 72
4 2 Auction markets 83
421 Auctions with a single informed investor 84
422 Auctions with multiple informed investors 93
423 Auctions with risk averse uninformed investors 95
424 The informational content of trading volume 105
425 Explaining short-term movements of asset prices 110
4 3 Inventory-based models of market making 112
431 The costs of market making 116
432 Competitive price setting 123
433 The price setting of a monopolistic market maker 129
434 Empirical implications 135
4 4 Information-based models of market making 137
441 Determination of adverse selection costs 140
442 Simultaneous trading on different stock exchanges 147
443 Comparing competitive and monopolistic market makers 149
444 Explaining return patterns 151
4 5 Liquidity provision with limit orders 154
451 The placement of limit orders 155
452 Price movements with limit order trading 158
453 Informational efficiency with limit order trading 165
4 6 Analyzing markets with multiple assets 166
461 Auction markets with multiple assets 167
462 Dealer markets with multiple assets 170
4 7 Empirical investigations of spread components 175
471 An estimation technique 176
472 Empirical investigations 181
4 8 Summary 183
5 Strategic behavior of market makers 187
5 1 Game theoretic foundations 188
511 Definitions and notations 189
Contents v
512 The concept of a Nash equilibrium 192
513 Subgame perfection 193
514 Bayesian equilibrium 195
515 Repeated games with complete information 196
516 Repeated games with imperfect public information 202
517 Reputation effects 204
5 2 Benchmark equilibria 205
521 The general model 205
522 The competitive equilibrium 209
523 The cooperative equilibrium 211
5 3 Market making with a single asset 212
531 The Dutta-Madhavan model of implicit collusion 213
532 Different costs of market making 220
533 Imperfect knowledge of the liquidity event 232
534 Imperfect observable behavior of market makers 244
535 Critical assessment of the results 247
5 4 Price matching arrangements 248
5 5 Market making with multiple assets 250
551 Implicit collusion with multimarket contact 251
552 The equilibrium control structure with two assets 253
553 Generalizations of the model 261
554 Control structures in larger markets 265
5 6 Coordination devices in asset markets 268
561 The theory of focal points 269
562 Stock price clustering 272
563 Focal points for market entry 276
5 7 Summary 280
6 Policy measures to reduce the effects of implicit collusion 283
6 1 Competition from limit orders 284
6 2 Market access 289
6 3 Market transparency 291
6 4 Time Priority 294
6 5 Restrictions on the spread 295
6 6 Anonymity in markets 296
vi Contents
6 7 Tick sizes 297
6 8 Summary 300
Concluding remarks 301
Appendices 305
A Utility theory 307
A 1 The expected utility hypothesis 307
A 2 Risk aversion 311
B The portfolio selection theory 315
B I The mean-variance criterion 316
B 2 The Markowitz frontier 322
C The Rational Expectations Approach 333
C I The rational expectations hypothesis 333
C 2 Bayesian learning 336
D Mathematical definitions and methods 339
D I Definitions 339
DII Closedness and compactness 339
D12 Convexity 340
D13 Metric and Euclidean spaces 340
D14 Hemi-continuity 341
D 2 Local separation 341
• D 3 Taylor series expansion 342
D 4 Implicit functions 342
D 5 Dynamic programming 343
D 6 Fixed point theorems 345
E Proof of theorem 5 347
Bibliography 363
|
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| spelling | Krause, Andreas Verfasser aut Market microstructure theory and strategic behavior of market makers by Andreas Krause 2000 XII, 375 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Freiburg (Schweiz), Univ., Diss. Investmentfonds (DE-588)4114047-3 gnd rswk-swf Internationaler Aktienmarkt (DE-588)4257200-9 gnd rswk-swf Marktverhalten (DE-588)4135561-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Internationaler Aktienmarkt (DE-588)4257200-9 s Investmentfonds (DE-588)4114047-3 s Marktverhalten (DE-588)4135561-1 s DE-604 HEBIS Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009502414&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Market microstructure theory and strategic behavior of market makers |
| title_auth | Market microstructure theory and strategic behavior of market makers |
| title_exact_search | Market microstructure theory and strategic behavior of market makers |
| title_full | Market microstructure theory and strategic behavior of market makers by Andreas Krause |
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| title_full_unstemmed | Market microstructure theory and strategic behavior of market makers by Andreas Krause |
| title_short | Market microstructure theory and strategic behavior of market makers |
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| topic_facet | Investmentfonds Internationaler Aktienmarkt Marktverhalten Hochschulschrift |
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