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Market Liquidity: Theory, Evidence, and Policy et plus d'un million d'autres livres sont disponibles pour le Kindle d'Amazon. En savoir plus
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Market Liquidity: Theory, Evidence, and Policy (Anglais) Relié – 4 avril 2013

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Market Liquidity: Theory, Evidence, and Policy + Fixed Income Securities: Valuation, Risk, and Risk Management + This Time Is Different - Eight Centuries of Financial Folly
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Descriptions du produit

Revue de presse

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)

Présentation de l'éditeur

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.

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Couverture | Copyright | Table des matières | Extrait | Index
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3 internautes sur 3 ont trouvé ce commentaire utile 
Cutting-edge book on market liquidity 26 avril 2013
Par Calibration - Publié sur Amazon.com
Format: Relié Achat vérifié
Just take a look of the table of contents then you understand it is cutting edge and very valuable. If you find something missing in book such as O'Hara (1995), Brunnermeier (2001), Hasbrouck (2007), de Long and Rindi (2009), Vives (2010), Veldkamp (2011) or you want to advance your understanding of financial market, then this is the book for you. We all knew the research contribution made by the authors, now we should thank them for writing such a wonderful book.
2 internautes sur 2 ont trouvé ce commentaire utile 
An excellent description of market microstructure 23 avril 2013
Par Nathaniel P Graham - Publié sur Amazon.com
Format: Relié Achat vérifié
I haven't finished with the book yet, but on the first pass through it I think the writing is clear and easy to follow. The authors are careful to distinguish between different theoretical measures and models (e.g., models of the bid-ask spread) and make the effort to discuss when and how they can (and can't) be differentiated with real data. I also appreciated the wealth of academic citations and further reading recommendations. On the whole, I think Market Liquidity: Theory, Evidence, and Policy is a great introduction to the topic and I would recommend it to anyone interested in learning about or teaching liquidity or microstructure.
2 internautes sur 3 ont trouvé ce commentaire utile 
Excellent introduction to market microstructure 11 février 2014
Par Ijon Tichy - Publié sur Amazon.com
Format: Relié Achat vérifié
This is a credible overview of the issues of market microstructure from an academic perspective. The focus is on equity markets, clearly the authors' forte, but there are also nice bits on fixed income and foreign exchange markets. The book covers a good deal of empirical research, basic quantitative models, as well as regulatory matters. All of it is interspersed with historical remarks and cleverly chosen anecdotes. A pleasure to read.
Five Stars 30 mai 2015
Par Carolina Garcia - Publié sur Amazon.com
Format: Format Kindle
Great book
2 internautes sur 4 ont trouvé ce commentaire utile 
Four Stars 23 août 2014
Par Denis - Publié sur Amazon.com
Format: Relié Achat vérifié
Highly theoretical, not that much for practitioners who want to understand the markets they place orders in to.
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