Results 241 to 250 of about 3,477,957 (284)
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2011
Market microstructure has been a very popular study topic for the last half century, but a financial engineering approach in this area is relatively new. In this chapter, we review recent developments of market microstructure studies using financial engineering techniques.
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Market microstructure has been a very popular study topic for the last half century, but a financial engineering approach in this area is relatively new. In this chapter, we review recent developments of market microstructure studies using financial engineering techniques.
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Market Microstructure and the Regulation of Markets
AIMR Conference Proceedings, 2003The current market structure is rife with inefficiencies, resulting particularly from market access fees, liquidity rebates, market data revenue, and the use of volume-weighted average price as a trading benchmark. These inefficiencies negatively affect price transparency, best execution, and market competition, but ways may exist to improve market ...
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Market Microstructure and the Ex-Date Return
The Journal of Finance, 1994ABSTRACTThis article examines the role of measurement biases, due to order flow effects, in abnormal split ex‐day returns. We conjecture that postsplit orders consist of numerous small buyers and fewer larger sellers. This change in order flow causes closing prices to occur more frequently at the ask price, consistent with Maloney and Mulherin (1992 ...
Conrad, Jennifer S, Conroy, Robert
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2013
This document contains three papers examining the microstructure of financial interaction in development and market settings. I first examine the industrial organization of financial exchanges, specifically limit order markets. In this section, I perform a case study of Google stock surrounding a surprising earnings announcement in the 3rd quarter of ...
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This document contains three papers examining the microstructure of financial interaction in development and market settings. I first examine the industrial organization of financial exchanges, specifically limit order markets. In this section, I perform a case study of Google stock surrounding a surprising earnings announcement in the 3rd quarter of ...
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Microstructure of World Trading Markets
Journal of Financial Services Research, 1992Automation, high-speed communication, electronic markets, and the increased sophistication of investors are dramatically changing financial markets and are greatly lessening the effective distance among widely separated world trading markets. The study of market microstructure, heretofore restricted primarily to U.S.
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1999
This book presents a theory of the firm based on its economic role as an intermediary between customers and suppliers. Professor Spulber demonstrates how the intermediation theory of the firm explains firm formation by showing how they arise in a market equilibrium.
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This book presents a theory of the firm based on its economic role as an intermediary between customers and suppliers. Professor Spulber demonstrates how the intermediation theory of the firm explains firm formation by showing how they arise in a market equilibrium.
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EVIDENCE ON MARKET MICROSTRUCTURE IN INDONESIAN MARKETS [PDF]
The International Journal of Business and Finance Research, 2010 Divergence of opinion causes market prices to differ from intrinsic values. Greater divergence of opinion results in larger bid/ask spreads. This study utilizes Miller’s theory (Miller, 1977) which states that differences between bid and ask prices (price spread) is caused by divergence of opinion between buyers and sellers.
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SSRN Electronic Journal, 2017
Bitcoin is traded on exchanges which use an open limit order book. This paper investigates the microstructure of various bitcoin markets with respect to liquidity and private information processing. The markets are found to be fairly liquid, providing liquidity at a stable rate throughout the 24 hours trading period.
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Bitcoin is traded on exchanges which use an open limit order book. This paper investigates the microstructure of various bitcoin markets with respect to liquidity and private information processing. The markets are found to be fairly liquid, providing liquidity at a stable rate throughout the 24 hours trading period.
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The Microstructure of Currency Markets [PDF]
, 2012 This paper describes the structure and microeconomics of the foreign exchange market. It begins by outlining the major participants and the instruments they trade, highlighting the vast institutional changes that accompanied the emergence of electronic trading since the 1990s.
Carol Osler, Xuhang Wang
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The Microstructure of Financial Markets
2009The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets.
de Jong, F.C.J.M., Rindi, B.
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