Hardback
Microstructure: The Organization of Trading and Short Term Price Behavior
This book is an authoritative collection of the most important published articles on key issues in securities markets including market design, the sources of the bid ask spread, and the short term movement of prices. The articles trace the development of this relatively new field of market microstructure while at the same time reflecting the latest ideas. At a time when securities markets are undergoing dramatic change, this two volume set provides important guidance to students, users and regulators of securities markets.
More Information
Contributors
Contents
More Information
This book is an authoritative collection of the most important published articles on key issues in securities markets including market design, the sources of the bid ask spread, and the short term movement of prices. The articles trace the development of this relatively new field of market microstructure while at the same time reflecting the latest ideas. At a time when securities markets are undergoing dramatic change, this two volume set provides important guidance to students, users and regulators of securities markets.
Contributors
39 articles, dating from 1968 to 1997
Contributors include: Y. Amihud, W.G. Christie, T.E. Copeland, H. Demsetz, D. Easley, D. Galai, L.R. Glosten, L.E. Harris, J. Hasbrouck, A.S. Kyle, H. Mendelson, P.R. Milgrom, M. O’Hara, R. Roll, P.H. Schultz
Contributors include: Y. Amihud, W.G. Christie, T.E. Copeland, H. Demsetz, D. Easley, D. Galai, L.R. Glosten, L.E. Harris, J. Hasbrouck, A.S. Kyle, H. Mendelson, P.R. Milgrom, M. O’Hara, R. Roll, P.H. Schultz
Contents
Contents: Volume I: Introduction Part I: Beginnings Part II: Microstructure Theory Without Asymmetric Information Part III: Microstructure Theory With Asymmetric Information Part IV: Patterns of Short-Run Price Behavior Part V: Evidence on the Bid Ask Spread and its Sources Index • Volume II: Part I: Price Impacts of Trading Part II: Theory of Market Design Part III: Evidence on Market Design and Trading Costs Part IV: Other Markets Part V: Market Microstructure and Asset Pricing Index
