Market Liquidity: Theory, Evidence, and Policy

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9780199936243: Market Liquidity: Theory, Evidence, and Policy

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as 'market microstructure.' Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Recensione:

Market Liquidity by Professors Foucault, Pagano and Roell is a wonderful addition to the literature on how markets work; why, sometimes, they don't work as we might wish; and how this affects regulation and corporate decision making. The book is rich in detail, covering the institutional structure of financial markets and the economic and statistical models we use to understand them. While structured as a textbook, it can be read in different ways. Those less interested in the mathematical details will profit from the beautifully written description of the models, some of which are new, and their economic lessons. ( Lawrence R. Glosten, S. Sloan Colt Professor of Banking and International Finance, Columbia University)

L'autore:

Thierry Foucault is Professor of Finance, HEC Paris International Business School. Marco Pagano is Professor of Economics, University of Naples Federico II. Ailsa Roëll is Professor of International and Public Affairs, Columbia University.

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1.

Ailsa Roell; Marco Pagano; Thierry Foucault
ISBN 10: 0199936242 ISBN 13: 9780199936243
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Descrizione libro Condizione libro: New. Depending on your location, this item may ship from the US or UK. Codice libro della libreria 97801999362430000000

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2.

Thierry Foucault, Marco Pagano, Ailsa Roell
Editore: Oxford University Press Inc, United States (2013)
ISBN 10: 0199936242 ISBN 13: 9780199936243
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Descrizione libro Oxford University Press Inc, United States, 2013. Hardback. Condizione libro: New. 236 x 157 mm. Language: English . Brand New Book. The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security s fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security s actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as market microstructure. Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices. Codice libro della libreria AOP9780199936243

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3.

Professor of Finance Thierry Foucault, Professor of Economics Marco Pagano, Professor of International and Public Affairs Ailsa Roell
Editore: Oxford University Press Inc, United States (2013)
ISBN 10: 0199936242 ISBN 13: 9780199936243
Nuovi Rilegato Quantità: 10
Da
The Book Depository
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Oxford University Press Inc, United States, 2013. Hardback. Condizione libro: New. 236 x 157 mm. Language: English . Brand New Book. The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security s fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security s actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as market microstructure. Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices. Codice libro della libreria AOP9780199936243

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Thierry Foucault
Editore: OUP USA 2013-04-04, New York (2013)
ISBN 10: 0199936242 ISBN 13: 9780199936243
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Descrizione libro OUP USA 2013-04-04, New York, 2013. hardback. Condizione libro: New. Codice libro della libreria 9780199936243

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5.

Thierry Foucault, Marco Pagano, Ailsa Roell
Editore: Oxford University Press Inc
ISBN 10: 0199936242 ISBN 13: 9780199936243
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THE SAINT BOOKSTORE
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Descrizione libro Oxford University Press Inc. Hardback. Condizione libro: new. BRAND NEW, Market Liquidity: Theory, Evidence, and Policy, Thierry Foucault, Marco Pagano, Ailsa Roell, The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as 'market microstructure.' Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices. Codice libro della libreria B9780199936243

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6.

Thierry Foucault, Marco Pagano, Ailsa Roell
Editore: OUP USA 2013-04-04 (2013)
ISBN 10: 0199936242 ISBN 13: 9780199936243
Nuovi Quantità: 5
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Chiron Media
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Descrizione libro OUP USA 2013-04-04, 2013. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-LBR-01646313

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7.

Foucault, Thierry, Pagano, Marco, R?ell, Ailsa
Editore: Oxford University Press, USA (2013)
ISBN 10: 0199936242 ISBN 13: 9780199936243
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Descrizione libro Oxford University Press, USA, 2013. Condizione libro: New. 2013. 1st Edition. Hardcover. The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. Num Pages: 448 pages, 58 b/w line. BIC Classification: KCS; KFFH; KFFM. Category: (G) General (US: Trade). Dimension: 236 x 165 x 27. Weight in Grams: 754. . . . . . . Codice libro della libreria V9780199936243

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Thierry Foucault, Marco Pagano, Ailsa Roell,
ISBN 10: 0199936242 ISBN 13: 9780199936243
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Descrizione libro Hardback. Condizione libro: New. Not Signed; The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the ass. book. Codice libro della libreria ria9780199936243_rkm

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Foucault, Thierry
Editore: Oxford University Press, Incorporated
ISBN 10: 0199936242 ISBN 13: 9780199936243
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Descrizione libro Oxford University Press, Incorporated. Condizione libro: Brand New. Dispatch Same Working Day, (Delivery 2-4 business days, Courier For Heavy/Expensive Items) Money Back Guarantee, Prompt Customer Service. Codice libro della libreria 42036666

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Foucault, Thierry; Marco Pagano , Marco Pagano ; Ailsa Roell, Ailsa Roell
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Descrizione libro Condizione libro: New. Codice libro della libreria 19139598-n

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