Topics in Market Microstructure
Author:   Ilija I.I. Zovko
Publisher:   Pallas Publications
ISBN:  

9789056295387


Pages:   109
Publication Date:   16 September 2008
Format:   Paperback
Availability:   In Print   Availability explained
Limited stock is available. It will be ordered for you and shipped pending supplier's limited stock.

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Topics in Market Microstructure


Overview

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.

Full Product Details

Author:   Ilija I.I. Zovko
Publisher:   Pallas Publications
Imprint:   Pallas Publications
Dimensions:   Width: 15.60cm , Height: 0.60cm , Length: 23.40cm
Weight:   0.214kg
ISBN:  

9789056295387


ISBN 10:   9056295381
Pages:   109
Publication Date:   16 September 2008
Audience:   Professional and scholarly ,  Adult education ,  Professional & Vocational ,  Further / Higher Education
Format:   Paperback
Publisher's Status:   Out of Print
Availability:   In Print   Availability explained
Limited stock is available. It will be ordered for you and shipped pending supplier's limited stock.

Table of Contents

Acknowledgements - 6 Contents - 8 1. Introduction - 10 2. The power of patience: A behavioral regularity in limit order placement - 18 3. The predictive power of zero intelligence in financial markets - 30 4. Correlations and clustering in the trading of members of the London Stock Exchange - 68 5. Market imbalances and stock returns: heterogeneity of order sizes at the London Stock Exchange - 86 6. Conclusions - 106 Bibliography - 108 Samenvatting (Summary in Dutch) - 118

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Author Information

Ilija Zovko did his PhD research in large part at the Santa Fe Institute in New Mexico (USA) where he was a resident graduate fellow, and in part at the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) at the University of Amsterdam.

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