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Topics in market microstructure

Author: Ilija I Zovko
Publisher: [Amsterdam] : Vossiuspers UvA : Amsterdam University Press, ©2008.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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 the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance,  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Zovko, Ilija I.
Topics in market microstructure.
Amsterdam : Vossiuspers UvA ; Amsterdam University Press, ©2008
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ilija I Zovko
ISBN: 9048507839 9789048507832 1282401750 9781282401754
OCLC Number: 632338801
Language Note: English, with summary in Dutch.
Description: 1 online resource (vi, 109 pages) : illustrations
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).
Responsibility: door Ilija I. Zovko.

Abstract:

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  Read more...

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