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The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure mehr
The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure
Includes bibliographical references and index
Electronic reproduction; Available via World Wide Web
Cover; Half-title; Title; Copyright; Contents; Figures; Tables; Preface; Introduction; 1 Institutions and market structure; 2 Financial market equilibrium; 3 Batch markets with strategic informed traders; 4 Dealer markets: information-based models; 5 Inventory models; 6 Empirical models of market microstructure; 7 Liquidity and asset pricing; 8 Models of the limit order book; 9 Price discovery; 10 Policy issues in financial market structure; Index