Market Liquidity

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Author :
Publisher : Oxford University Press
ISBN 13 : 0197542069
Total Pages : 531 pages
Book Rating : 4.1/5 (975 download)

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Book Synopsis Market Liquidity by : Thierry Foucault

Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants 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. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--

Liquidity, Markets and Trading in Action

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Author :
Publisher : Springer Nature
ISBN 13 : 3030748170
Total Pages : 111 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Liquidity, Markets and Trading in Action by : Deniz Ozenbas

Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

The Empirical Analysis of Liquidity

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Author :
Publisher : Now Publishers
ISBN 13 : 9781601988744
Total Pages : 90 pages
Book Rating : 4.9/5 (887 download)

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Book Synopsis The Empirical Analysis of Liquidity by : Craig Holden

Download or read book The Empirical Analysis of Liquidity written by Craig Holden and published by Now Publishers. This book was released on 2014-11-28 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.

Liquidity and Asset Prices

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Author :
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis Liquidity and Asset Prices by : Yakov Amihud

Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Measuring Liquidity in Financial Markets

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Author :
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Measuring Liquidity in Financial Markets by : Abdourahmane Sarr

Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.

Transparency in Government Operations

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Publisher : International Monetary Fund
ISBN 13 : 155775697X
Total Pages : 50 pages
Book Rating : 4.5/5 (577 download)

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Book Synopsis Transparency in Government Operations by : Mr.J. D. Craig

Download or read book Transparency in Government Operations written by Mr.J. D. Craig and published by International Monetary Fund. This book was released on 1998-02-03 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Transparency in government operations is widely regarded as an important precondition for macroeconomic fiscal sustainability, good governance, and overall fiscal rectitude. Notably, the Interim Committee, at its April and September 1996 meetings, stressed the need for greater fiscal transparency. Prompted by these concerns, this paper represents a first attempt to address many of the aspects of transparency in government operations. It provides an overview of major issues in fiscal transparency and examines the IMF's role in promoting transparency in government operations.

Europe's Hidden Capital Markets

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Author :
Publisher : CEPS
ISBN 13 : 9290795964
Total Pages : 142 pages
Book Rating : 4.2/5 (97 download)

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Book Synopsis Europe's Hidden Capital Markets by : Jean-Pierre Casey

Download or read book Europe's Hidden Capital Markets written by Jean-Pierre Casey and published by CEPS. This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.

The Science of Algorithmic Trading and Portfolio Management

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Author :
Publisher : Academic Press
ISBN 13 : 0124016936
Total Pages : 492 pages
Book Rating : 4.1/5 (24 download)

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Book Synopsis The Science of Algorithmic Trading and Portfolio Management by : Robert Kissell

Download or read book The Science of Algorithmic Trading and Portfolio Management written by Robert Kissell and published by Academic Press. This book was released on 2013-10-01 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. - Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. - Helps readers design systems to manage algorithmic risk and dark pool uncertainty. - Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

Theories of Liquidity

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Author :
Publisher : Now Pub
ISBN 13 : 9781601985989
Total Pages : 112 pages
Book Rating : 4.9/5 (859 download)

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Book Synopsis Theories of Liquidity by : Dimitri Vayanos

Download or read book Theories of Liquidity written by Dimitri Vayanos and published by Now Pub. This book was released on 2012-10 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theories of Liquidity surveys the theoretical literature on market liquidity focusing on six main imperfections studied in that literature: participation costs, transaction costs, asymmetric information, imperfect competition, funding constraints, and search. The authors address three basic questions in the context of each imperfection: (a) how to measure illiquidity, i.e., the lack of liquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity affects expected asset returns. The theoretical literature on market liquidity often employs different modeling assumptions when studying different imperfections. Instead of surveying this literature in a descriptive manner, Theories of Liquidity uses a common, unified model to study all six imperfections that are considered, and for each imperfection addresses the three basic questions within that model. The model generates many of the key results shown in the literature. It also serves as a point of reference for surveying other results derived in different or more complicated settings, and for describing fruitful areas for future research.This survey is related to both market microstructure and asset pricing. It emphasizes fundamental market imperfections covered in the market microstructure literature, and examines how these relate to empirical measures of illiquidity used in that literature. It also examines how market imperfections affect expected asset returns - an asset-pricing exercise - and, in that sense, connects the two areas of research.

Dark Markets

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Publisher : Princeton University Press
ISBN 13 : 0691138966
Total Pages : 115 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Dark Markets by : Darrell Duffie

Download or read book Dark Markets written by Darrell Duffie and published by Princeton University Press. This book was released on 2012-01-08 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field.

MBS Ratings and the Mortgage Credit Boom

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Publisher : DIANE Publishing
ISBN 13 : 1437934617
Total Pages : 60 pages
Book Rating : 4.4/5 (379 download)

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Book Synopsis MBS Ratings and the Mortgage Credit Boom by : Adam Ashcraft

Download or read book MBS Ratings and the Mortgage Credit Boom written by Adam Ashcraft and published by DIANE Publishing. This book was released on 2010-11 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk; ratings contain useful info. for investors. There was also evidence of significant time variation in risk-adjusted credit ratings, incl. a progressive decline in standards around the MBS market peak between 2005 and mid-2007. Conditional on initial ratings, they observe underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages based on a simple ex ante model and deals with a high fraction of opaque low-documentation loans.

Securities Markets

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Publisher : DIANE Publishing
ISBN 13 : 9781422302361
Total Pages : 122 pages
Book Rating : 4.3/5 (23 download)

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Book Synopsis Securities Markets by : Richard J. Hillman (au)

Download or read book Securities Markets written by Richard J. Hillman (au) and published by DIANE Publishing. This book was released on 2005-11 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: In early 2001, U.S. stock & option markets began quoting prices in decimal increments rather than fractions of a dollar. At the same time, the minimum price increment, or tick size, was reduced to a penny on the stock markets & to 10¢ & 5¢ on the option markets. Although many believe that decimal pricing has benefited small individual (retail) investors, concerns have been raised that the smaller tick sizes have made trading more challenging & costly for large institutional investors, including mutual funds & pension plans. The financial livelihood of market intermediaries may also have been negatively affected by the lower ticks. This report assesses the effect of decimal pricing on retail & institutional investors & on market intermediaries. Charts.

Market Microstructure Theory

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Author :
Publisher : John Wiley & Sons
ISBN 13 : 0631207619
Total Pages : 310 pages
Book Rating : 4.6/5 (312 download)

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Book Synopsis Market Microstructure Theory by : Maureen O'Hara

Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.

International Convergence of Capital Measurement and Capital Standards

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Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 0071743545
Total Pages : 498 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets by : Greg N. Gregoriou

Download or read book The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-05-14 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make the post-meltdown markets work for you, using the unparalleled insight of today’s top global investing experts! “This book provides a collection of papers that examine trading execution, technical trading, and trading strategies, as well as algorithms in different markets (equities, forex, fixed income, exchange traded funds, derivatives, and commodities) around the world. This is particularly relevant given the recent explosion in trading volumes.” Tarun Chordia, R. Howard Dobbs Chair in Finance, Goizueta Business School, Emory University “This book uses a number of well-respected authors in the area of asset trading. It provides a comprehensive analysis of trading-related issues covering momentum trading, algorithmic trading, the use of technical trading rules, strategies for ETFs, and the role of trading volume.” Professor John Cotter, Director of the Centre for Financial Markets, University College Dublin School of Business, University College Dublin “The Handbook of Trading is a good reference tool for both practitioners and academics. The contents cover a wide range of topical issues.” Professor Robert McGee, Director of the Center for Accounting, Auditing, and Tax Studies, College of Business Administration, Florida International University About the Book: Given today’s market volatility, even the most advanced investors can be unsure of their next move. Rather than rely on one or two individuals who claim general knowledge on any given investing topic, you need the advice of professionals who have spent their entire careers developing real expertise on more focused sectors of the market. The Handbook of Trading is the only book available that provides just that. Greg N. Gregoriou has amassed forty of the world’s top academics, researchers, and practitioners who explain how to make today’s markets work for you. With this highly technical but ultimately practical guide, you have access to a broad array of trading strategies that will put you light years ahead of the competition—regardless of the state of the market. From technical analysis and momentum trading to algorithmic and FOREX trading, The Handbook of Trading introduces you to techniques and insights never before published, each of which has been rigorously back-tested and analyzed. Chapters include: Performance Leakage and Value Discounts on the Toronto Stock Exchange Lawrence Kryzanowski and Skander Lazrak Trading in Turbulent Markets: Does Momentum Work? Tim A. Herberger and Daniel M. Kohlert Profitability of Technical Trading Rules in an Emerging Market Dimitris Kenourgios and Spyros Papathanasiou Leveraged Exchange-Traded Funds and Their Trading Strategies Narat Charupat The Impact of Algorithmic Trading Models on the Stock Market Ohannes G. Paskelian Applying critical lessons learned from the financial crisis of 2008–2009, the contributors explain how to approach turbulent market environments and adjust your trading methodologies accordingly. The Handbook of Trading is the go-to guide for financial professionals seeking profits in today’s currency, bond, and stock markets. Correlating PowerPoint slides and reading questions created by the contributors appear on http://www.mhprofessional.com/handbookoftrading.

Foundations for Financial Economics

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Author :
Publisher :
ISBN 13 :
Total Pages : 394 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Foundations for Financial Economics by : Chi-fu Huang

Download or read book Foundations for Financial Economics written by Chi-fu Huang and published by . This book was released on 1988 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on formal derivations of financial theory, this volume provides a rigorous exploration of individual's consumption and portfolio decisions under uncertainty. Features in-depth coverage of such topics as: concepts of risk aversion and stochastic dominance; mathematical properties of a portfolio frontier; distributional conditions for mutual fund separation; capital asset pricing models and arbitrage pricing models; general pricing rules for securities that pay off in more than one state of nature; the pricing of options; rational expectation models of risky asset prices; signaling models; how multiperiod dynamic economies can be modeled; a multiperiod economy with emphasis on valuation by arbitrage; econometric issues associated with testing capital asset pricing models.

Liquidity, Trading Rules, and Electronic Trading Systems

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Author :
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Liquidity, Trading Rules, and Electronic Trading Systems by : Lawrence E. Harris

Download or read book Liquidity, Trading Rules, and Electronic Trading Systems written by Lawrence E. Harris and published by . This book was released on 1991 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: