Market liquidity : theory, evidence, and policy /
Foucault, Thierry,
Market liquidity : theory, evidence, and policy / Thierry Foucault, Marco Pagano, Ailsa Röell. - Second edition. - 510 pages : illustrations ; 24 cm.
Includes bibliographical references and index.
Preface -- Introduction -- Part One: Institutions -- 1. Trading Mechanics and Market Structure -- 2. Measuring Liquidity -- 3. Order Flow, Liquidity, and Security Price Dynamics -- 4. Trade Size and Market Depth -- 5. Estimating the Determinants of Market Illiquidity -- Part Two: Market Design and Regulation -- 6. Limit Order Book Markets -- 7. Market Fragmentation -- 8. Market Transparency -- 9. Algorithmic and High Frequency Trading -- Part Three: Implications for Asset Prices, Financial Instability, and Corporate Policies -- 10. Liquidity and Asset Prices -- 11. Financial Stability and Market Liquidity -- 12. Liquidity, Price Discovery, and Corporate Policies -- References -- Index.
The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. In Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa Röell offer a more accurate take on the liquidity of securities markets, its determinants, and its effects. They start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors.
9780197542064
Liquidity (Economics).
Financial markets.
Market structure.
Financial regulation.
332.63 / F.T.M
Market liquidity : theory, evidence, and policy / Thierry Foucault, Marco Pagano, Ailsa Röell. - Second edition. - 510 pages : illustrations ; 24 cm.
Includes bibliographical references and index.
Preface -- Introduction -- Part One: Institutions -- 1. Trading Mechanics and Market Structure -- 2. Measuring Liquidity -- 3. Order Flow, Liquidity, and Security Price Dynamics -- 4. Trade Size and Market Depth -- 5. Estimating the Determinants of Market Illiquidity -- Part Two: Market Design and Regulation -- 6. Limit Order Book Markets -- 7. Market Fragmentation -- 8. Market Transparency -- 9. Algorithmic and High Frequency Trading -- Part Three: Implications for Asset Prices, Financial Instability, and Corporate Policies -- 10. Liquidity and Asset Prices -- 11. Financial Stability and Market Liquidity -- 12. Liquidity, Price Discovery, and Corporate Policies -- References -- Index.
The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. In Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa Röell offer a more accurate take on the liquidity of securities markets, its determinants, and its effects. They start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors.
9780197542064
Liquidity (Economics).
Financial markets.
Market structure.
Financial regulation.
332.63 / F.T.M