E Book

Strategic Trading in Illiquid Markets

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Modeling Feedback Effects with Stochastic Liquidity -- Optimal Liquidation Strategies -- The Navigation of an Iceberg: The Optimal Use of Hidden Orders.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 automatic execution systems. Introduction A major difference between a quote-driven and an order-driven market arises from the transparency pre- and post-trade. The pre-trade transparency con­ cerns the question whether the order book is visible to the keeper only, or whether it is open to the public.

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Ketersediaan

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Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

: .,

Deskripsi Fisik

XIV, 118 p. 29 illus.online resource.

Bahasa

English

ISBN/ISSN

9783540263159

Klasifikasi

332

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

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Edisi

1st ed. 2005.

Subjek

Finance.
Finance, general.
Macroeconomics.
Macroeconomics/Monetary Economics//Financial Economics.
Economics, Mathematical .
Quantitative Finance.

Info Detail Spesifik

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Pernyataan Tanggungjawab

by Burkart Mönch.

Versi lain/terkait

Lampiran Berkas

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