EconPapers FAQ Archive maintainers FAQ Cookies at EconPapers Format for printing The RePEc blog The RePEc plagiarism page Trading and Exchanges: Market Microstructure for PractitionersLarry HarrisAdditional contact information Larry Harris: University of Southern Californiain OUP Catalogue from Oxford University PressAbstract:This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.Date: 2002ISBN: 9780195144703References: Add references at CitEc Citations: View citations in EconPapers (47) Track citations by RSS feedThere are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.Related works:This item may be available elsewhere in EconPapers: Search for items with the same title.Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/TextPersistent link: :oxp:obooks:9780195144703Ordering information: This item can be ordered from ... uct/9780195144703.doAccess Statistics for this bookMore books in OUP Catalogue from Oxford University PressBibliographic data for series maintained by Economics Book Marketing (Obfuscate( 'oup.com', 'economics.uk' )). var addthis_config = "data_track_clickback":true; var addthis_share = url:" :oxp:obooks:9780195144703"Share This site is part of RePEc and all the data displayed here is part of the RePEc data set. Is your work missing from RePEc? Here is how to contribute. Questions or problems? Check the EconPapers FAQ or send mail to Obfuscate( 'oru.se', 'econpapers' ). EconPapers is hosted by the Örebro University School of Business.
Market Microstructure For Practitioners Pdf Download
Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
The purpose of this research is to examine various issues about market efficiency and market microstructure in the Chinese equity market. Where. to date, there has been relatively little attention. Specifically. this thesis intends to answer the following questions. Is the Chinese equity market efficient? If not, has it been evolving towards efficiency over the years? What are the intraday patterns of price behaviour? Which trades move prices? Finally, does Chinese investors' psychology have effects on prices? In order to answer these questions four sets of empirical analysis have been undertaken.The first study investigates the evolution of China's stock market via analysing the ongoing predictive ability and profitability of simple, well known technical trading rules. The results suggest that while technical trading rules had short term predictive ability and profitability in the Chinese stock markets during the 1990's, this lessened as the markets evolved.The second research study documents the intraday variation in bid-ask spreads, trading volumes and volatility. The findings suggest that the existence of the intraday anomalies is not due to the peculiarities of the US markets. However, the shape of the intraday patterns in order-driven markets is different from those in quote-driven markets, which suggests a need for new theoretical models.The third area of work examines which trades move prices by testing three hypotheses: stealth trading, public information and price manipulation hypotheses. The results show that while medium and large-size trades are associated with disproportionately cumulative price changes, it is the large-size trades which have the largest effect on cumulative price increases. Aligned with the concerns notedby some eminent individuals in China, there seems to be price manipulation in China's stock market.The final research area studies the influence of Chinese cultural factors on price clustering and resistance. The results show a higher propensity of clustering on the digit 8 and lower propensity on digits 4 and 7, which is consistent with the preference for number 8 and the avoidance of numbers 4 and 7 in Chinese culture. The results suggest that investors' psychology does have effects on prices.This research hopes to help academics and practitioners understand better the market efficiency and the trading behaviour in the Chinese equity market. Especially, it has implications for policy makers and regulators who involve in the design of an efficiency market. 2ff7e9595c
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