Market microstructure theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Malden, Mass. [u.a.]
Blackwell
2011
|
| Ausgabe: | 15. print. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | X, 290 S. graph. Darst. |
| ISBN: | 9780631207610 9781557864437 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804143660466438144 |
|---|---|
| adam_text | Contents
About the Author
v
Foreword
ix
Chapter
1
Markets and Market Making
1
1.1
Prices and Markets
3
1.2
The Nature of Markets
6
Chapter
2
Inventory Models
13
2.1
Order Arrival and Market Making
14
2.2
The Dealer s Problem
25
2.3
The
Intertemporal
Role of Inventory
29
2.4
Prices and Inventories in Competitive Markets
44
2.5
Inventory Models and Market Maker Behavior
51
Chapter
3
Information-Based Models
53
3.1
Informed Traders and Uninformed Traders
53
3.2
The Information Content of Trades
57
3.3
The Glosten-Milgrom Model
58
3.4
Trade Quantities and Price Behavior
66
3.5
Sequential Trade Models and Price Behavior
73
Appendix: Bayesian Learning Models
77
Chapter
4
Strategic Trader Models I: Informed Traders
89
4.1
The Strategic Behavior of an Informed Trader
90
4.2
Price Behavior and Multiple Informed Traders
106
4.3
Strategic Behavior and the Trading Mechanism
113
Appendix: Rational Expectations Models
119
Chapter
5
Strategic Trader Models II: Uninformed Traders
129
5.1
Strategic Behavior and Uninformed Traders
131
5.2
Strategic Behavior and Long-lived Information
140
5.3
Strategic Behavior and Security Returns
143
5.4
The Robustness of Strategic Models
150
Chapter
6
Information and the Price Process
153
6.1
Information and the Sequence of Prices
154
6.2
The Volume Critique
160
6.3
The Role of Time in Price Adjustment
168
Chapter
7
Market Viability and Stability
179
7.1
Information and Market Viability
181
7.2
Order Form and Price Behavior
191
7.3
Policy Issues in Market Structure
205
Chapter
8
Liquidity and the Relationships Between Markets
215
8.1
The Nature of Liquidity
216
8.2
Endogenous Liquidity and Market Performance
223
8.3
Block Trades and Alternative Trading Mechanisms
233
8.4
Information and Multimarket Activity
243
Chapter
9
Issues in Market Performance
251
9.1
Market Transparency
252
9.2
Trader Anonymity
260
9.3
How to Design a Market?
268
References
273
Index
283
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, and market
design. Market Microstructure Theory includes extensive appendices
developing Bayesian learning and the rational expectations framework.
|
| any_adam_object | 1 |
| author | O'Hara, Maureen 1950- |
| author_GND | (DE-588)129508284 |
| author_facet | O'Hara, Maureen 1950- |
| author_role | aut |
| author_sort | O'Hara, Maureen 1950- |
| author_variant | m o mo |
| building | Verbundindex |
| bvnumber | BV036942298 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)706948010 (DE-599)BVBBV036942298 |
| discipline | Wirtschaftswissenschaften |
| edition | 15. print. |
| format | Book |
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| id | DE-604.BV036942298 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:51:12Z |
| institution | BVB |
| isbn | 9780631207610 9781557864437 |
| language | English |
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| physical | X, 290 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Blackwell |
| record_format | marc |
| spelling | O'Hara, Maureen 1950- Verfasser (DE-588)129508284 aut Market microstructure theory Maureen O'Hara 15. print. Malden, Mass. [u.a.] Blackwell 2011 X, 290 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wertpapierhandel (DE-588)4189707-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Marktstruktur (DE-588)4037647-3 gnd rswk-swf Börse (DE-588)4007502-3 gnd rswk-swf Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf Wertpapierbörse (DE-588)4079188-9 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Börse (DE-588)4007502-3 s Marktstruktur (DE-588)4037647-3 s 1\p DE-604 Wertpapierbörse (DE-588)4079188-9 s 2\p DE-604 Wertpapiermarkt (DE-588)4189708-0 s 3\p DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020857357&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020857357&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | O'Hara, Maureen 1950- Market microstructure theory Wertpapierhandel (DE-588)4189707-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Marktstruktur (DE-588)4037647-3 gnd Börse (DE-588)4007502-3 gnd Wertpapiermarkt (DE-588)4189708-0 gnd Wertpapierbörse (DE-588)4079188-9 gnd |
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| title | Market microstructure theory |
| title_auth | Market microstructure theory |
| title_exact_search | Market microstructure theory |
| title_full | Market microstructure theory Maureen O'Hara |
| title_fullStr | Market microstructure theory Maureen O'Hara |
| title_full_unstemmed | Market microstructure theory Maureen O'Hara |
| title_short | Market microstructure theory |
| title_sort | market microstructure theory |
| topic | Wertpapierhandel (DE-588)4189707-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Marktstruktur (DE-588)4037647-3 gnd Börse (DE-588)4007502-3 gnd Wertpapiermarkt (DE-588)4189708-0 gnd Wertpapierbörse (DE-588)4079188-9 gnd |
| topic_facet | Wertpapierhandel Mathematisches Modell Marktstruktur Börse Wertpapiermarkt Wertpapierbörse |
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