rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Market liquidity
    sub title: theory, evidence, and policy
  name:
    name part: Foucault, Thierry.
    role:
      role term: creator
  name:
    name part: Pagano, Marco.
  name:
    name part: Röell, Ailsa
    name part: 1955-
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nyu
    place:
      place term: New York
    publisher: Oxford University Press
    date issued: ©2013
    date issued: 2013
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xv, 424 pages) : illustrations
  abstract: 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.
  table of contents: 0.1 What is This Book About? 1 -- 0.2 Why Should We Care? 4 -- 0.3 Some Puzzles 5 -- 0.4 The Three Dimensions of Liquidity 8 -- 0.4.1 Market Liquidity 8 -- 0.4.2 Funding Liquidity 9 -- 0.4.3 Monetary Liquidity 10 -- Part 1 Institutions -- 1 Trading Mechanics and Market Structure 15 -- 1.1 Introduction 15 -- 1.2 Limit Order Markets and Dealer Markets 17 -- 1.2.1 Limit Order Markets 17 -- 1.2.2 Dealer Markets 23 -- 1.2.3 Hybrid Markets 27 -- 1.2.4 Market Transparency 28 -- 1.3 Does Market Structure Matter? 31 -- 1.4 Evolution of Market Structure 32 -- 1.4.1 Who Makes the Rules? 32 -- 1.4.2 Competition between Exchanges 34 -- 1.4.3 Automation 37 -- 1.5 Further Reading 44 -- 1.6 Exercises 44 -- 2 Measuring Liquidity 46 -- 2.1 Introduction 46 -- 2.2 Measures of the Spread 49 -- 2.2.1 The Quoted Spread 49 -- 2.2.2 The Effective Spread 50 -- 2.2.3 The Realized Spread 53 -- 2.3 Other Measures of Implicit Trading Costs 55 -- 2.3.1 Volume-weighted Average Price 55 -- 2.3.2 Measures Based on Price Impact 56 -- 2.3.3 Non-trading Measures 58 -- 2.3.4 Measures Based on Return Covariance 59 -- 2.4 Implementation Shortfall 65 -- 2.5 Hands-on Estimation of Transaction Costs 68 -- 2.6 Further Reading 68 -- 2.7 Appendix 69 -- 2.8 Exercises 72 -- 3 Order Flow, Liquidity, and Securities Price Dynamics 77 -- 3.1 Introduction 77 -- 3.2 Price Dynamics and the Efficient Market Hypothesis 81 -- 3.3 Price Dynamics with Informative Order Flow 84 -- 3.3.1 The Glosten-Milgrom Model 85 -- 3.3.2 The Determinants of the Bid-Ask Spread 87 -- 3.3.3 How Do Dealers Revise their Quotes? 92 -- 3.3.4 Price Discovery 94 -- 3.3.5 The Implications for Price Movements and Volatility 98 -- 3.4 Price Dynamics with Order-Processing Costs 101 -- 3.4.1 Bid-Ask Spread with Order-Processing Costs 101 -- 3.4.2 Price Dynamics with Order-Processing and Adverse-Selection Costs 102 -- 3.5 Price Dynamics with Inventory Risk 106 -- 3.5.1 A Two-Period Model 108 -- 3.5.2 A Multi-Period Model 112 -- 3.5.3 The dynamics of pric…
  target audience: specialized
  note: Thierry Foucault, Marco Pagano, Ailsa Roell.
  note: Includes bibliographical references and index.
  note: English.
  subject:
    topic: Liquidity (Economics)
  subject:
    topic: Securities
  subject:
    topic: Capital market
  subject:
    topic: Liquidité (Économie politique)
  subject:
    topic: Marché financier
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Finance
  subject:
    topic: Capital market
  subject:
    topic: Liquidity (Economics)
  subject:
    topic: Securities
  subject:
    topic: Kapitalmarkt
  subject:
    topic: Liquidität
  subject:
    topic: Wertpapier
  classification: HG178 .F64 2013eb
  classification: 332.041
  related item:
    title info:
      title: Market liquidity
    name:
      name part: Foucault, Thierry.
    origin info:
      publisher: Oxford ; New York : Oxford University Press, ©2013
    identifier: (DLC) 2012030772
    identifier: (OCoLC)804145712
  related item:
    identifier: (DLC) 2012030772
  identifier: 9780199333059
  identifier: 019933305X
  identifier: 9780199324095
  identifier: 0199324093
  identifier: 9780199936243
  identifier: 0199936242
  identifier: 2012030772
  identifier: w7wuh89 cloudLibrary
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: DKDLA
    record creation date: 131018
    record change date: 20260318192525.0
    record identifier: in00005710148
    language of cataloging:
      language term: eng