内容
Part I: Univariate models of security prices ............................................................... 1 1. Market microstructure: an overview .......................................................................... 2 • Sources of value and reasons for trade • Mechanisms in economic settings • Multiple characterizations of prices • “Liquidity” • Econometric issues • The questions • Readings • Mathematica initializations 2. The long-term dynamics of security prices ................................................................ 7 2.a Macroeconomic models of asset prices .......... 7 • A sample of market prices 2.b Martingales in microstructure analyses .......... 11 3. A dealer market with fixed transaction costs: the Roll model ............................... 12 3.a Model structure .......... 12 3.b Inference ........ 13 4. Moving average and autoregressive representations of price changes ................ 15 4.a Stationarity and ergodicity ..... 15 4.b Moving average models ......... 16 4.c Autoregressive models ........... 18 4.d The lag operator and representations . 18
5. Sequential trade models of asymmetric information ............................................... 21 5.a Overview ....... 21 5.b A simple sequential trade model ........ 22 • A numerical example • Market dynamics over time • Numerical example, continued 5.c Extensions ..... 28 • Fixed transaction costs • Price-sensitive liquidity traders and market failures • Event uncertainty • Orders of different sizes • Orders of different types 5.d Empirical implications ........... 31 5.e Problems ........ 32 6. Strategic trade models of asymmetric information .................................................. 33 6.a The single-period model ........ 33 • The informed trader's problem • The market maker's problem • Properties of the solution 6.b The multiperiod model ........... 37 • Setup • Solution • Analysis of solution • Numerical example • Autocorrelation in trades • Increasing the number of auctions (when total noise trading remains unchanged) 6.c Problems based on the single-period model ... 42 7. The generalized Roll model ............................................................................................ 44 7.a Overview ....... 44 7.b Model description ...... 44 • Alternative representations and special cases • The autocovariance structure of D pt 7.c Identification of sw 2 ... 46 7.d The moving average (MA) representation ..... 47 • Forecasting and filtering • Proof 7.e How closely does pt track mt ? .......... 50 • Overview • ss 2 in the generalized Roll model 8. Univariate random-walk decompositions ................................................................... 53 8.a Overview ....... 53 8.b The autocovariance generating function ........ 54 8.c The random-walk variance .... 56 8.d Further identification in special cases 56 • The special case of qhHLL ht = 0: Additional results • The special case of qwHLL= 0 8.e Smoothing (optional) . 58 • General setup • Exclusively private information • Exclusively public information 8.f Filtering ......... 60 8.g Variance of the pricing error: ss 2 ....... 60 • Other approaches 8.h Problems ........ 62 9. Estimation of time series models ................................................................................... 64 9.a Estimating the MA model. ..... 64 • Maximum likelihood • Direct moment estimates • Estimation based on autoregression 9.b Structural estimates and their distributional properties .......... 67 • The "delta" method • Subsampling • Starting values 9.c Case study I ... 69 • Accessing WRDS • Using SAS • Analyzing the output Part II: Multivariate models of trades and prices ..................................................... 71 10. The trade process and inventory control .................................................................... 72 10.a The dealer as a smoother of intertemporal order imbalances. 72 • Background: the exponential/Poisson arrival model • The Garman model 10.b Active inventory control ........ 74 10.c How do dealer inventories actually behave? .. 75 • Is the visible quote the control variable for inventory control? 10.d The properties of the trade direction series .... 78 11. Random walks, etc. .......................................................................................................... 79 11.a Is it a random walk? . . 79 11.b Invertibility .... 81 11.c The Wold theorem revisited . . 81 • Summary 12. Multivariate time series .................................................................................................. 86 12.a Vector moving average and autoregressive models ... 86 12.b Impulse response functions: their use and interpretation ....... 88 12.c Cholesky factorizations .......... 89 12.d Attributing explanatory power ........... 90 12.e Forecast variance decompositions ..... 91 13. Prices and trades: statistical models ............................................................................ 93 13.a Trade direction variables: constructing qt ...... 93 13.b Simple trade/price models ...... 93 • Model 1 (Generalized Roll model, with both pt and qt observed) • Model 2: Autocorrelated trades • Model 3: Endogenous trades • Model 4: Contemporaneous trade and public information effects 13.c General VAR specifications . . 99 13.d Summary of asymmetric information measures ......... 101 • The trade impact coefficient, l • Variance decomposition measures 13.e Case Study II . 101 14. Prices and trades: structural models ........................................................................... 103 14.a Glosten & Harris (1988) ........ 103 14.b Madhavan, Richardson and Roomans (1997) 104 14.c Huang and Stoll (1997) .......... 104 14.d The components of the spread ........... 105 15. The probability of informed trading (PIN) ................................................................ 107 15.a Model structure .......... 107 15.b A mixture of two Normal Poisson approximations .... 109 15.c Mixture aspects of EHKOP . . 112 15.d Summary ....... 114 16. What do measures of information asymmetry tell us? ............................................ 116 17. Linked prices: cointegration and price discovery .................................................... 117 17.a Two securities 117 17.b One security, two markets ..... 118 17.c The general case of multiple prices .... 120 • Price discovery 17.d Sources of cointegration ........ 121 • Linear arbitrage conditions • Nonlinear arbitrage conditions 17.e Case Study III 122 Part III: Limit orders .............................................................................................................. 123 18. Limit orders and dealer quotes ..................................................................................... 124 18.a Overview ....... 124 18.b Limit order placement when faced with incoming orders of varying size ...... 125 18.c Empirical evidence .... 131 18.d Introduction of a dealer/specialist ...... 133 19. Bidding and offering with uncertain execution ......................................................... 135 19.a Expected utility .......... 135 19.b Setting the bid for a single risky security. ...... 135 • Extension: Bid as a function of quantity 19.c Setting the bid with correlated risky assets .... 137 • The bid for asset 1: • Bids for portfolios 20. Limit order submission strategies ................................................................................ 140 • Broader models of choice and strategy 21. Dynamic equilibrium models ......................................................................................... 146 • Foucault (1999) • Parlour (1998) Part IV: Microstructure and asset pricing .................................................................... 149 22. Trading and asset pricing with fixed transaction costs ........................................... 150 22.a Theory ........... 150 • Amihud and Mendelson (1986): The model • Constantinides (1986) • Heaton and Lucas (1996) 22.b Empirical Analyses .... 158 • Amihud and Mendelson (1986) • Brennan and Subrahmanyam (1996) 22.c Alternative measures of "liquidity" .... 161 • Liquidity ratio • Illiquidity ratio • Reversal measures 22.d Stochastic liquidity .... 164 Appendix: US equity markets: overview and recent history ............................... 165 Bibliography ............................................................................................................................. 188
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