| 書(shū)目名稱(chēng) | Strategic Trading in Illiquid Markets | | 編輯 | Burkart M?nch | | 視頻video | http://file.papertrans.cn/879/878832/878832.mp4 | | 叢書(shū)名稱(chēng) | Lecture Notes in Economics and Mathematical Systems | | 圖書(shū)封面 |  | | 描述 | The Area of Research and the Object of Investigation In this thesis we will investigate trading strategies in illiquid markets from a market microstructure perspective. Market microstructure is the academic term for the branch of financial economics that investigates trading and the organization of security markets, see, e. g. , Harris (2002). Historically, exchanges evolved as a location, where those interested in buy- ing or selling securities could meet physically to transact. Thus, traditionally security trading was organized on exchange floors, where so-called dealers arranged all trades and provided liquidity by quoting prices at which they were willing buy or sell. Consequently, the initial surge of the market mi- crostructure literature focused predominantly on this type of market design, which is often referred to as quote-driven. Nowadays, the interest is shifting towards order-driven markets. Beginning with the Toronto Stock Exchange in the mid 1970s and increasing in fre- quency and scope, this market structure has emerged as the preeminent form of security trading worldwide. In order-driven markets, exchanges arrange trades by matching public orders, often by employing | | 出版日期 | Book 2005 | | 關(guān)鍵詞 | Iceberg Order; Liquidation; Liquidity; Market Microstructure; Order Book; Order Submission; Trading; Tradin | | 版次 | 1 | | doi | https://doi.org/10.1007/b137407 | | isbn_softcover | 978-3-540-25039-5 | | isbn_ebook | 978-3-540-26315-9Series ISSN 0075-8442 Series E-ISSN 2196-9957 | | issn_series | 0075-8442 | | copyright | Springer-Verlag Berlin Heidelberg 2005 |
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