Ilija I. Zovko, "Topics in Market Microstructure"
Amsterdam University Press | 2008 | ISBN: 9056295381 | 120 pages | PDF | 3,1 MB




Market microstructure is a study of the processes through whichthe investors’ predictions of the future and their tradingstrategies determine market prices. Recent advances in marketmicrostructure have been made possible by the proliferation of computersin the tradingprocess and the availability of high quality financialdata. This has attracted researchers from various disciplines (e.g.,finance, physics,computer science) creating an interdisciplinaryresearch arena with thecommon goal of understanding a very complicated– yet very well documented by data – system of a large number ofinteracting intelligent agents. This book contains four papers in whichthe authors investigate the interactions of investors’ strategies andthe resulting aggregate properties of transaction prices.