Topics in Market Microstructure
Title
Topics in Market Microstructure
Price
€ 32,95
ISBN
9789056295387
Format
Paperback
Number of pages
109
Language
English
Publication date
Dimensions
15.6 x 23.4 cm
Table of Contents
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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

Ilija Zovko

Topics in Market Microstructure

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.
Author

Ilija Zovko

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.