Autor: Burkart Mönch
ISBN-13: 9783540250395
Einband: Book
Seiten: 118
Gewicht: 219 g
Format: 236x154x15 mm
Sprache: Englisch

Strategic Trading in Illiquid Markets

553, Lecture Notes in Economics and Mathematical Systems
 Book
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Modeling Feedback Effects with Stochastic Liquidity.- Optimal Liquidation Strategies.- The Navigation of an Iceberg: The Optimal Use of Hidden Orders.
The Area of Research and the Object of Investigation In this thesis we will investigate trading strategies in illiquid markets from a market microstructure perspective. Market microstructure is the academic term for the branch of financial economics that investigates trading and the organization of security markets, see, e. g. , Harris (2002). Historically, exchanges evolved as a location, where those interested in buy ing or selling securities could meet physically to transact. Thus, traditionally security trading was organized on exchange floors, where so-called dealers arranged all trades and provided liquidity by quoting prices at which they were willing buy or sell. Consequently, the initial surge of the market mi crostructure literature focused predominantly on this type of market design, which is often referred to as quote-driven. Nowadays, the interest is shifting towards order-driven markets. Beginning with the Toronto Stock Exchange in the mid 1970s and increasing in fre quency and scope, this market structure has emerged as the preeminent form of security trading worldwide. In order-driven markets, exchanges arrange trades by matching public orders, often by employing automatic execution systems. Introduction A major difference between a quote-driven and an order-driven market arises from the transparency pre- and post-trade. The pre-trade transparency con cerns the question whether the order book is visible to the keeper only, or whether it is open to the public.
Autor: Burkart Mönch
InhaltsangabeModeling Feedback Effects with Stochastic Liquidity.- Optimal Liquidation Strategies.- The Navigation of an Iceberg: The Optimal Use of Hidden Orders.

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Autor: Burkart Mönch
ISBN-13 :: 9783540250395
ISBN: 3540250395
Erscheinungsjahr: 20.04.2005
Verlag: Springer-Verlag GmbH
Gewicht: 219g
Seiten: 118
Sprache: Englisch
Auflage 2005
Sonstiges: Taschenbuch, 236x154x15 mm, 29 schwarz-weiße Abbildungen, 7 schwarz-weiße Tabellen, Bibliographie