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Microstructure: The Organization Of Trading And Short Term Price Behavior |
Edited by Hans R. Stoll, The Anne Marie and Thomas B. Walker Professor of Finance and Director of the Financial Markets Research Center, Owen Graduate School of Management, Vanderbilt University, US
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| 1999 |
1,040 pp |
Hardback |
978 1 85898 749 1 |
£260.00 |
on-line discount
£234.00 |
Two volume set |
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This book is an authoritative collection of the most important published articles on key issues in securities markets including market design, the sources of the bid ask spread, and the short term movement of prices. The articles trace the development of this relatively new field of market microstructure while at the same time reflecting the latest ideas. At a time when securities markets are undergoing dramatic change, this two volume set provides important guidance to students, users and regulators of securities markets.
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39 articles, dating from 1968 to 1997
Contents: Volume I: Introduction Part I: Beginnings Part II: Microstructure Theory Without Asymmetric Information Part III: Microstructure Theory With Asymmetric Information Part IV: Patterns of Short-Run Price Behavior Part V: Evidence on the Bid Ask Spread and its Sources Index • Volume II: Part I: Price Impacts of Trading Part II: Theory of Market Design Part III: Evidence on Market Design and Trading Costs Part IV: Other Markets Part V: Market Microstructure and Asset Pricing Index
Contributors include: Y. Amihud, W.G. Christie, T.E. Copeland, H. Demsetz, D. Easley, D. Galai, L.R. Glosten, L.E. Harris, J. Hasbrouck, A.S. Kyle, H. Mendelson, P.R. Milgrom, M. O’Hara, R. Roll, P.H. Schultz
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This book is volume 4 in the The International Library of Critical Writings in Financial Economics. To view the rest of the series, please use the link.
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The International Library of Critical Writings in Financial Economics books 
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