Franklin

Topics in market microstructure [electronic resource] / Ilija I. Zovko.

Author/Creator:
Zovko, Ilija I.
Publication:
Amsterdam : Amsterdam University Press, c2008.
Format/Description:
Book
1 online resource (119 p.)
Subjects:
Industrial organization (Economic theory).
Microeconomics.
Form/Genre:
Electronic books.
Language:
English
Summary:
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 the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated - yet very well documented by data - system of a large number of
Contents:
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)
Notes:
Description based upon print version of record.
Includes bibliographical references.
ISBN:
1-282-40175-0
9786612401756
90-485-0783-9
OCLC:
632338801
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