Market microstructure theory
著者
書誌事項
Market microstructure theory
Blackwell, 1997
- : pbk
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注記
Originally published: 1995
Includes bibliographical references (p. 273-281) and index
内容説明・目次
内容説明
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
目次
About the Author v
Foreword ix
1. Markets and Market-Making 1
2. Inventory Models 15
3. Information-Based Models 53
4. Strategic Trader Models I: Informed Traders 89
5. Strategic Trader Models II: Uninformed Traders 129
6. Information and the Price Process 153
7. Market Viability and Stability 179
8. Liquidity and the Relationships between Markets 215
9. Issues in Market Performance 251
References 273
Index 283
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