Topics in market microstructure / door Ilija I. Zovko.

By:

Zovko, Ilija I

Material type: Text

TextLanguage: English Summary language: Dutch Series: UvA Proefschriften SerPublication details: [Amsterdam] : Vossiuspers UvA : Amsterdam University Press, ©2008.Description: 1 online resource (vi, 109 pages) : illustrationsContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9048507839
9789048507832
1282401750
9781282401754

Subject(s): Genre/Form:

Additional physical formats: Print version:: Topics in market microstructure.DDC classification:

332.64 22

LOC classification:

HD2326 .Z68 2008eb

Online resources:

Click here to access online

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).

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, 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 interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors' strategies and the resulting aggregate properties of transaction prices. This title can be previewed in Google Books - http://books.google.com/books?vid=ISBN9789056295387.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

English, with summary in Dutch.

Includes bibliographical references (pages 99-107).

Print version record.

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, 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 interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors' strategies and the resulting aggregate properties of transaction prices. This title can be previewed in Google Books - http://books.google.com/books?vid=ISBN9789056295387.

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