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Market Microstructure: A Survey
SSRN Electronic Journal, 2000Market microstructure studies the process by which investors’ latent demands are ultimately translated into prices and volumes. This paper reviews the theoretical, empirical and experimental literature on market microstructure relating to: (1) price formation, including the dynamic process by which prices come to impound information, (2) market ...
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2012
Proceedings of the 1st "Market microstructure: confronting many viewpoints ...
Abergel, Frédéric +4 more
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Proceedings of the 1st "Market microstructure: confronting many viewpoints ...
Abergel, Frédéric +4 more
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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.
openaire +2 more sources