DMCA
Market microstructure: A survey (2000)
by
Ananth Madhavan
| Venue: | JOURNAL OF FINANCIAL MARKETS 3 (2000) 205--258 |
| Citations: | 246 - 2 self |
BibTeX
@MISC{Madhavan00marketmicrostructure:,
author = {Ananth Madhavan},
title = {Market microstructure: A survey },
year = {2000}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
Market microstructure studies the process by which investors’ latent demands are ultimately translated into prices and volumes. This paper reviews the theoretical, empirical and experimental literature on market microstructure relating to: (1) price formation, including the dynamic process by which prices come to impound information, (2) market structure and design, including the relation between price formation and trading protocols, (3) Transparency, the ability of market participants to observe information about the trading process, and (4) Applications to other areas of finance including asset pricing,
