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Classification of Market Microstructure Models

Markus K. Brunnermeier

in Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding

Published in print:
2001
Published Online:
November 2003
ISBN:
9780198296980
eISBN:
9780191596025
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296983.003.0003
Subject:
Economics and Finance, Financial Economics

The third chapter contrasts different market microstructure models. In the first group of models, all market participants submit whole demand schedules simultaneously. The traders either act ... More


Information: Economics

Ruben Lee

in What is an Exchange?: Automation, Management, and Regulation of Financial Markets

Published in print:
2000
Published Online:
October 2011
ISBN:
9780198297048
eISBN:
9780191685309
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198297048.003.0010
Subject:
Business and Management, Finance, Accounting, and Banking, Political Economy

Although it is widely accepted that the dissemination of prices and quotes plays a central role in the functioning of markets, the nature of that role is the subject of much controversy and ... More


Financial Market Complexity

Neil F. Johnson, Paul Jefferies, and Pak Ming Hui

Published in print:
2003
Published Online:
January 2010
ISBN:
9780198526650
eISBN:
9780191712104
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198526650.001.0001
Subject:
Physics, Theoretical, Computational, and Statistical Physics

Financial markets provide a fascinating example of ‘complexity in action’: a real-world complex system whose evolution is dictated by the decisions of crowds of traders who are continually trying to ... More


Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding

Markus K. Brunnermeier

Published in print:
2001
Published Online:
November 2003
ISBN:
9780198296980
eISBN:
9780191596025
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198296983.001.0001
Subject:
Economics and Finance, Financial Economics

Asset prices are driven by public news and information that is dispersed among many market participants. Traditional asset pricing theories have assumed that all investors hold symmetric information. ... More


Data Considerations

Yacine Aïıt-Sahalia and Jean Jacod

in High-Frequency Financial Econometrics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.003.0002
Subject:
Economics and Finance, Econometrics

Semimartingales of the type described in the previous chapter are used as modeling tools in a number of applications including the study of Internet packet flow, turbulence and other meteorological ... More


Introduction

Thierry Foucault, Marco Pagano, and Ailsa Röell

in Market Liquidity: Theory, Evidence, and Policy

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199936243
eISBN:
9780199333059
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199936243.003.0001
Subject:
Economics and Finance, Financial Economics

This introductory chapter begins with an overview of what this book is about. It identifies two key concepts in market microstructure—market liquidity and price discovery—and explains why these are ... More


Market Liquidity: Theory, Evidence, and Policy

Thierry Foucault, Marco Pagano, and Ailsa Roell

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199936243
eISBN:
9780199333059
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199936243.001.0001
Subject:
Economics and Finance, Financial Economics

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more ... More


The FX Race to Zero: Electronification and Market Structural Issues in Foreign Exchange Trading

Dan Marcus and Miles Kellerman

in Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges

Published in print:
2018
Published Online:
January 2019
ISBN:
9780198829461
eISBN:
9780191867972
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198829461.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter traces how technological changes have affected the structure and operation of currency markets, and examines the issues associated with these developments. These changes have caused ... More


The Structure of the Interbank Market in Kenya: Prospects and Challenges

Lydia Ndirangu, Kethi Ngoka-Kisinguh, and Esther Kariuki

in 50 Years of Central Banking in Kenya

Published in print:
2021
Published Online:
April 2021
ISBN:
9780198851820
eISBN:
9780191886508
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851820.003.0018
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter discusses the evolution of the network structure of Kenya’s overnight market. It applies several measurements derived from network theory to uncover some key microstructure ... More


Liquidity Risk

Kose John, Samir Saadi, and Hui Zhu

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0008
Subject:
Economics and Finance, Financial Economics

The role of market liquidity and its implications on asset prices and financial systems has generated much attention over the past thirty years. This chapter provides an overview of the vast ... More


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