Ananth Madhavan. Market microstructure: A survey. Journal of Financial Mathematics, 3:205--258, August 2000. Home/Search Document Not in Database Summary Related Articles Check |
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Intelligent Market-Making in Artificial Financial Markets - Das (2003) (Correct)
....Price formation in markets occurs through the process of trading. The field of market microstructure is concerned with the specific mechanisms and rules under which trades take place in a market and how these mechanisms impact price formation and the trading process. O Hara [23] and Madhavan [21] present excellent surveys of the market microstructure literature. Asset markets can be structured in different ways. The simplest type of market is a standard double auction market, in which competitive buyers and sellers enter their prices and matching prices result in the execution of trades ....
A. Madhavan. Market Microstructure: A Survey. Journal of Fi- nancial Markets, pages 205 258, 2000.
Market Makers' Supply And Pricing Of Financial Market Liquidity - Shen, Starr (2000) (Correct)
.... that the price risk of the underlying asset and the effect of asymmetric information is important in determining the percentage bid ask spreads (for example, Copeland and Galai, 1983; Glosten and Milgrom, 1985; and Easley and O Hara, 1987) The literature, however, differs at the role of inventory (Madhavan 2000). In many studies where inventory was one of the considered variables, it ended up as a non factor in determining the percentage bid ask spreads (for example, Stoll, 1978; Ho and Stoll, 1981) Garman (1976) Amihud and Mendelson (1980) and O Hara and Oldfield (1986) are a few exceptions. Both ....
Madhavan, Ananth 2000, "Market Microstructure: A Survey". Journal of Financial Markets, vol. 3, 205-258.
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Ananth Madhavan. Market microstructure: A survey. Journal of Financial Mathematics, 3:205--258, August 2000.
Intelligent Market-Making in Artificial Financial - Markets Computer Science (Correct)
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A. Madhavan. Market Microstructure: A Survey. Journal of Financial Markets, pages 205--258, 2000.
Securities Transaction Taxes And Financial Markets - Habermeier, Kirilenko (2000) (1 citation) (Correct)
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Madhavan, Ananth, 2000, Market microstructure: A survey, Journal of Financial Markets forthcoming.
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