LEADER 00000cam a2200637Mi 4500
001 ocn860943694
003 OCoLC
005 20200717185743.6
006 m o d
007 cr |||||||||||
008 131018s2013 nyua fob 001 0 eng d
019 1049858544|a1065877861
020 9780199333059|q(ebook)
020 019933305X|q(ebook)
020 9780199324095|q(electronic book)
020 0199324093|q(electronic book)
020 |z9780199936243|q(cloth ;|qalkaline paper)
020 |z0199936242|q(cloth ;|qalkaline paper)
035 (OCoLC)860943694|z(OCoLC)1049858544|z(OCoLC)1065877861
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049 RIDW
050 4 HG178|b.F64 2013eb
072 7 BUS|x027000|2bisacsh
082 04 332.041|223
090 HG178|b.F64 2013eb
100 1 Foucault, Thierry.|0https://id.loc.gov/authorities/names/
nb97091909
245 10 Market liquidity :|btheory, evidence, and policy /
|cThierry Foucault, Marco Pagano, Ailsa Roell.
264 1 New York :|bOxford University Press,|c[2013]
264 4 |c©2013
300 1 online resource (xv, 424 pages) :|billustrations
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
347 text file|2rdaft
504 Includes bibliographical references and index.
505 00 |g0.1|tWhat is This Book About?|g1 --|g0.2|tWhy Should We
Care?|g4 --|g0.3|tSome Puzzles|g5 --|g0.4|tThree
Dimensions of Liquidity|g8 --|g0.4.1|tMarket Liquidity|g8
--|g0.4.2|tFunding Liquidity|g9 --|g0.4.3|tMonetary
Liquidity|g10 --|gPart 1|tInstitutions --|g1|tTrading
Mechanics and Market Structure|g15 --|g1.1|tIntroduction
|g15 --|g1.2|tLimit Order Markets and Dealer Markets|g17 -
-|g1.2.1|tLimit Order Markets|g17 --|g1.2.2|tDealer
Markets|g23 --|g1.2.3|tHybrid Markets|g27 --|g1.2.4
|tMarket Transparency|g28 --|g1.3|tDoes Market Structure
Matter?|g31 --|g1.4|tEvolution of Market Structure|g32 --
|g1.4.1|tWho Makes the Rules?|g32 --|g1.4.2|tCompetition
between Exchanges|g34 --|g1.4.3|tAutomation|g37 --|g1.5
|tFurther Reading|g44 --|g1.6|tExercises|g44 --|g2
|tMeasuring Liquidity|g46 --|g2.1|tIntroduction|g46 --
|g2.2|tMeasures of the Spread|g49 --|g2.2.1|tQuoted Spread
|g49 --|g2.2.2|tEffective Spread|g50 --|g2.2.3|tRealized
Spread|g53 --|g2.3|tOther Measures of Implicit Trading
Costs|g55 --|g2.3.1|tVolume-weighted Average Price|g55 --
|g2.3.2|tMeasures Based on Price Impact|g56 --|g2.3.3|tNon
-trading Measures|g58 --|g2.3.4|tMeasures Based on Return
Covariance|g59 --|g2.4|tImplementation Shortfall|g65 --
|g2.5|tHands-on Estimation of Transaction Costs|g68 --
|g2.6|tFurther Reading|g68 --|g2.7|tAppendix|g69 --|g2.8
|tExercises|g72 --|g3|tOrder Flow, Liquidity, and
Securities Price Dynamics|g77 --|g3.1|tIntroduction|g77 --
|g3.2|tPrice Dynamics and the Efficient Market Hypothesis
|g81 --|g3.3|tPrice Dynamics with Informative Order Flow
|g84 --|g3.3.1|tGlosten-Milgrom Model|g85 --|g3.3.2
|tDeterminants of the Bid-Ask Spread|g87 --|g3.3.3|tHow Do
Dealers Revise their Quotes?|g92 --|g3.3.4|tPrice
Discovery|g94 --|g3.3.5|tImplications for Price Movements
and Volatility|g98 --|g3.4|tPrice Dynamics with Order-
Processing Costs|g101 --|g3.4.1|tBid-Ask Spread with Order
-Processing Costs|g101 --|g3.4.2|tPrice Dynamics with
Order-Processing and Adverse-Selection Costs|g102 --|g3.5
|tPrice Dynamics with Inventory Risk|g106 --|g3.5.1|tA Two
-Period Model|g108 --|g3.5.2|tA Multi-Period Model|g112 --
|g3.5.3|tDynamics of prices and inventories|g115 --|g3.6
|tFull Picture|g120 --|g3.7|tFurther Reading|g122 --|g3.8
|tExercises|g123 --|g4|tTrade Size and Market Depth|g132 -
-|g4.1|tIntroduction|g132 --|g4.2|tMarket Depth under
Asymmetric Information|g134 --|g4.2.1|tLearning from Order
Size|g135 --|g4.2.2|tPerfectly Competitive Dealers|g137 --
|g4.2.3|tInformed Trader's Order Placement Strategy|g140 -
-|g4.2.4|tImperfectly Competitive Dealers|g144 --|g4.3
|tMarket Depth with Inventory Risk|g148 --|g4.3.1
|tPerfectly Competitive Dealers|g148 --|g4.3.2
|tImperfectly Competitive Dealers|g151 --|g4.4|tFurther
Reading|g153 --|g4.5|tAppendix A|g154 --|g4.6|tAppendix B
|g156 --|g4.7|tExercises|g157 --|g5|tEstimating the
Determinants of Market Illiquidity|g163 --|g5.1
|tIntroduction|g163 --|g5.2|tPrice Impact Regressions|g165
--|g5.2.1|tWithout Inventory Costs|g166 --|g5.2.2|tWith
Inventory Costs|g170 --|g5.3|tMeasuring the Permanent
Impact of Trades|g176 --|g5.4|tProbability of Informed
Trading (PIN)|g179 --|g5.5|tFurther Reading|g184 --|g5.6
|tExercises|g184 --|gPart 2|tMarket Design and Regulation
--|g6|tLimit Order Book Markets|g191 --|g6.1|tIntroduction
|g191 --|g6.2|tA Model of the Limit Order Book (LOB)|g193
--|g6.2.1|tMarket Environment|g193 --|g6.2.2|tExecution
Probability and Order Submission Cost|g196 --|g6.2.3
|tLimit Order Trading with Informed Investors|g198 --|g6.3
|tDesign of Limit Order Book Markets|g204 --|g6.3.1|tTick
Size|g204 --|g6.3.2|tPriority Rules|g207 --|g6.3.3|tHybrid
LOB Markets|g209 --|g6.4|tMake or Take Decision in LOB
Markets|g213 --|g6.4.1|tRisk of Being Picked Off and Risk
of Non-Execution|g214 --|g6.4.2|tBid-Ask Spreads and
Execution Risk|g217 --|g6.4.3|tBid-Ask Spreads and
Volatility|g220 --|g6.4.4|tIndexed Limit Orders,
Monitoring, and Algorithmic Trading|g223 --|g6.4.5|tOrder
Flow and the State of the LOB|g225 --|g6.5|tFurther
Reading|g230 --|g6.6|tAppendix|g232 --|g6.7|tExercises
|g232 --|g7|tMarket Fragmentation|g236 --|g7.1
|tIntroduction|g236 --|g7.2|tCosts of Fragmentation|g241 -
-|g7.2.1|tInformation Effects|g242 --|g7.2.2|tRisk-sharing
Effects|g246 --|g7.2.3|tCompetition among Liquidity
Suppliers|g248 --|g7.2.4|tFragmentation and the Broker-
Client Relationship|g251 --|g7.3|tLiquidity Externalities
|g253 --|g7.3.1|tLiquidity Begets Liquidity|g254 --|g7.3.2
|tLow-liquidity Traps|g256 --|g7.4|tBenefits of
Fragmentation|g256 --|g7.4.1|tCurbing the Pricing Power of
Exchanges|g256 --|g7.4.2|tSharper Competition among
Liquidity Providers|g259 --|g7.4.3|tTrade-throughs|g265 --
|g7.5|tRegulation|g268 --|g7.5.1|tRegulation NMS|g268 --
|g7.5.2|tMiFID|g271 --|g7.6|tFurther Reading|g275 --|g7.7
|tExercises|g275 --|g8|tMarket Transparency|g278 --|g8.1
|tPre-trade Transparency|g279 --|g8.1.1|tQuote
Transparency and Competition between Dealers|g280 --
|g8.1.2|tQuote Transparency and Execution Risk|g282 --
|g8.1.3|tOrder Flow Transparency|g284 --|g8.2|tPost-trade
Transparency|g287 --|g8.3|tRevealing Trading Motives|g292
--|g8.4|tWhy are Markets so Opaque?|g296 --|g8.4.1|tRent
Extraction and Lobbying|g297 --|g8.4.2|tOpacity can
Withstand Competition|g298 --|g8.4.3|tBright Side of
Opacity|g299 --|g8.5|tFurther Reading|g301 --|g8.6
|tExercises|g303 --|gPart 3|tImplications for Asset Prices,
Financial Crises, and Corporate Policies --|g9|tLiquidity
and Asset Prices|g307 --|g9.1|tIntroduction|g307 --|g9.2
|tIlliquidity and Asset Prices|g308 --|g9.2.1|tIlliquidity
Premium|g308 --|g9.2.2|tClientele Effects|g313 --|g9.2.3
|tEvidence|g314 --|g9.2.4|tAsymmetric Information,
Illiquidity, and Asset Returns|g318 --|g9.2.5|tIlliquidity
Premia in OTC Markets|g320 --|g9.3|tLiquidity Risk and
Asset Prices|g322 --|g9.4|tLiquidity and Limits to
Arbitrage|g325 --|g9.4.1|tRisk of Early Liquidation as a
Limit to Arbitrage|g328 --|g9.4.2|tLimited Speculative
Capital as a Barrier to Arbitrage|g331 --|g9.4.3
|tImplications for Market Making and Liquidity Crises|g336
--|g9.5|tCorrelated Order Flow and Noise Trader Risk|g339
--|g9.6|tFurther Reading|g341 --|g9.7|tAppendix The
Derivation of the Search Model|g343 --|g9.8|tExercises
|g347 --|g10|tLiquidity, Price Discovery, and Corporate
Policies|g350 --|g10.1|tIntroduction|g350 --|g10.2|tMarket
Liquidity and Corporate Investment|g351 --|g10.3|tMarket
Liquidity and Corporate Governance|g354 --|g10.4|tPrice
Discovery, Corporate Investment, and Executive
Compensation|g360 --|g10.4.1|tStock Prices and Investment
Allocation|g361 --|g10.4.2|tStock Prices and Executive
Compensation|g368 --|g10.5|tCorporate Policies and Market
Liquidity|g372 --|g10.5.1|tListing and Cross-listing|g373
--|g10.5.2|tDesignated Market Makers|g375 --|g10.5.3
|tDisclosure Policy|g376 --|g10.5.4|tCapital Structure
|g380 --|g10.6|tFurther Reading|g382 --|g10.7|tExercises
|g386.
520 8 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. This book offers a more accurate and
authoritative take on liquidity and price discovery.
588 0 Print version record.
590 eBooks on EBSCOhost|bEBSCO eBook Subscription Academic
Collection - North America
650 0 Liquidity (Economics)|0https://id.loc.gov/authorities/
subjects/sh85077403
650 0 Securities.|0https://id.loc.gov/authorities/subjects/
sh85119463
650 0 Capital market.|0https://id.loc.gov/authorities/subjects/
sh85019945
650 7 Liquidity (Economics)|2fast|0https://id.worldcat.org/fast/
999682
650 7 Securities.|2fast|0https://id.worldcat.org/fast/1110743
650 7 Capital market.|2fast|0https://id.worldcat.org/fast/846356
655 4 Electronic books.
700 1 Pagano, Marco.|0https://id.loc.gov/authorities/names/
no95019989
700 1 Röell, Ailsa,|d1955-|0https://id.loc.gov/authorities/names
/n83221366
776 08 |iPrint version:|aFoucault, Thierry.|tMarket liquidity.
|dOxford ; New York : Oxford University Press, ©2013
|z9780199936243|w(DLC) 2012030772|w(OCoLC)804145712
856 40 |uhttps://rider.idm.oclc.org/login?url=http://
search.ebscohost.com/login.aspx?direct=true&scope=site&
db=nlebk&AN=2096377|zOnline ebook via EBSCO. Access
restricted to current Rider University students, faculty,
and staff.
856 42 |3Instructions for reading/downloading the EBSCO version
of this ebook|uhttp://guides.rider.edu/ebooks/ebsco
901 MARCIVE 20231220
948 00 |d20200727|cEBSCO|tEBSCOebooksacademic NEW June-July 17
7032|lridw
994 92|bRID
