The Role Of Market Maker Dealer Inventories In The Price Formation Process

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The Role of Market-Maker/Dealer Inventories in the Price Formation Process

Author : Evelyn Rill
Publisher : GRIN Verlag
ISBN 13 : 3668080305
Total Pages : 40 pages
Book Rating : 4.6/5 (68 download)

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Book Synopsis The Role of Market-Maker/Dealer Inventories in the Price Formation Process by : Evelyn Rill

Download or read book The Role of Market-Maker/Dealer Inventories in the Price Formation Process written by Evelyn Rill and published by GRIN Verlag. This book was released on 2015-11-04 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2015 in the subject Business economics - Economic Policy, grade: 1,3, University of Frankfurt (Main) (Faculty of Economics and Business Administration), course: Chair of Corporate Finance, language: English, abstract: Due to the importance of inventories and the fact that asymmetric information models are extensively discussed in literature, this thesis exclusively focuses on inventory control models and provides a survey of theory and empirical results on the role of inventory in the price formation process. Because most of the relevant literature is based on the U.S. exchange market, this thesis is mainly confined on inventory control of specialists on the New York Stock Exchange (NYSE) and of dealers on the National Association of Securities Dealers (NASDAQ). To understand the costs of holding inventory, Section 2 introduced three important drivers of inventory: capital constraints, liquidity and volatility. Section 3 summarises the effect of market maker inventory and its costs on liquidity and how this affects the bid-ask spread. In Section 4, the impact of inventory on asset prices, especially of inventory levels, is discussed in more detail. Section 5 briefly turns to changes in market structure and how they affect the role of traditional market makers and their inventories. Section 6 finally concludes.

The Microstructure Approach to Exchange Rates

Author : Richard K. Lyons
Publisher : MIT Press (MA)
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis The Microstructure Approach to Exchange Rates by : Richard K. Lyons

Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.

The Financial Mathematics of Market Liquidity

Author : Olivier Gueant
Publisher : CRC Press
ISBN 13 : 1498725481
Total Pages : 302 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis The Financial Mathematics of Market Liquidity by : Olivier Gueant

Download or read book The Financial Mathematics of Market Liquidity written by Olivier Gueant and published by CRC Press. This book was released on 2016-03-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app

Market Microstructure Theory

Author : Maureen O'Hara
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.

Market Liquidity

Author : Thierry Foucault
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"--

Financial Economics and Econometrics

Author : Nikiforos T. Laopodis
Publisher : Taylor & Francis
ISBN 13 : 1000506053
Total Pages : 767 pages
Book Rating : 4.0/5 (5 download)

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Book Synopsis Financial Economics and Econometrics by : Nikiforos T. Laopodis

Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Taylor & Francis. This book was released on 2021-12-14 with total page 767 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Liquidity and Asset Prices

Author : Yakov Amihud
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.

Trading and Exchanges

Author : Larry Harris
Publisher : OUP USA
ISBN 13 : 9780195144703
Total Pages : 664 pages
Book Rating : 4.1/5 (447 download)

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Book Synopsis Trading and Exchanges by : Larry Harris

Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

Empirical Market Microstructure

Author : Joel Hasbrouck
Publisher : Oxford University Press
ISBN 13 : 0198041306
Total Pages : 209 pages
Book Rating : 4.1/5 (98 download)

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Book Synopsis Empirical Market Microstructure by : Joel Hasbrouck

Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.

Algorithmic and High-Frequency Trading

Author : Álvaro Cartea
Publisher : Cambridge University Press
ISBN 13 : 1316453650
Total Pages : 360 pages
Book Rating : 4.3/5 (164 download)

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Book Synopsis Algorithmic and High-Frequency Trading by : Álvaro Cartea

Download or read book Algorithmic and High-Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

Market Making and the Changing Structure of the Securities Industry

Author : Yakov Amihud
Publisher : Beard Books
ISBN 13 : 1587981637
Total Pages : 338 pages
Book Rating : 4.5/5 (879 download)

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Book Synopsis Market Making and the Changing Structure of the Securities Industry by : Yakov Amihud

Download or read book Market Making and the Changing Structure of the Securities Industry written by Yakov Amihud and published by Beard Books. This book was released on 2002 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprnit of a previously published book. it deals with changes on the U.S. financial market by the Securities Acts Amendment of 1975.

Trading and Electronic Markets: What Investment Professionals Need to Know

Author : Larry Harris
Publisher : CFA Institute Research Foundation
ISBN 13 : 1934667927
Total Pages : 94 pages
Book Rating : 4.9/5 (346 download)

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Book Synopsis Trading and Electronic Markets: What Investment Professionals Need to Know by : Larry Harris

Download or read book Trading and Electronic Markets: What Investment Professionals Need to Know written by Larry Harris and published by CFA Institute Research Foundation. This book was released on 2015-10-19 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.

The Empirical Analysis of Liquidity

Author : Craig Holden
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.

Financial Trading and Investing

Author : John L. Teall
Publisher : Academic Press
ISBN 13 : 0128111178
Total Pages : 523 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Financial Trading and Investing by : John L. Teall

Download or read book Financial Trading and Investing written by John L. Teall and published by Academic Press. This book was released on 2018-03-21 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Trading and Investing, Second Edition, delivers the most current information on trading and market microstructure for undergraduate and master's students. Without demanding a background in econometrics, it explores alternative markets and highlights recent regulatory developments, implementations, institutions and debates. New explanations of controversial trading tactics (and blunders), such as high-frequency trading, dark liquidity pools, fat fingers, insider trading, and flash orders emphasize links between the history of financial regulation and events in financial markets. New sections on valuation and hedging techniques, particularly with respect to fixed income and derivatives markets, accompany updated regulatory information. In addition, new case studies and additional exercises are included on a website that has been revised, expanded and updated. Combining theory and application, the book provides the only up-to-date, practical beginner's introduction to today's investment tools and markets. - Concentrates on trading, trading institutions, markets and the institutions that facilitate and regulate trading activities - Introduces foundational topics relating to trading and securities markets, including auctions, market microstructure, the roles of information and inventories, behavioral finance, market efficiency, risk, arbitrage, trading technology, trading regulation and ECNs - Covers market and technology advances and innovations, such as execution algo trading, Designated Market Makers (DMMs), Supplemental Liquidity Providers (SLPs), and the Super Display Book system (SDBK)

Europe's Hidden Capital Markets

Author : Jean-Pierre Casey
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.

Econophysics of Order-driven Markets

Author : Frédéric Abergel
Publisher : Springer Science & Business Media
ISBN 13 : 8847017661
Total Pages : 316 pages
Book Rating : 4.8/5 (47 download)

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Book Synopsis Econophysics of Order-driven Markets by : Frédéric Abergel

Download or read book Econophysics of Order-driven Markets written by Frédéric Abergel and published by Springer Science & Business Media. This book was released on 2011-04-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.

The Microstructure of Foreign Exchange Markets

Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260232
Total Pages : 358 pages
Book Rating : 4.2/5 (262 download)

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Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel

Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.