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Topics in market microstructure /
Annotation Market microstructure is a study of the processes through which the investors' predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Amsterdam] :
Vossiuspers UvA : Amsterdam University Press,
©2008.
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| Colección: | UvA Proefschriften Ser.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Acknowledgements; Contents; 1. Introduction; 2. The power of patience: A behavioral regularity in limit order placement; 3. The predictive power of zero intelligence in financial markets; 4. Correlations and clustering in the trading of members of the London Stock Exchange; 5. Market imbalances and stock returns: heterogeneity of order sizes at the London Stock Exchange; 6. Conclusions; Bibliography; Samenvatting (Summary in Dutch).