Market microstructure: A survey Export

@article{citeulike:4042274, abstract = {Market microstructure studies the process by which investors' latent demands are ultimately translated into prices and volumes. This paper reviews the theoretical, empirical and experimental literature on market microstructure relating to: (1)  price formation , including the dynamic process by which prices come to impound information, (2)  market structure and design , including the relation between price formation and trading protocols, (3)  Transparency , the ability of market participants to observe information about the trading process, and (4)  Applications to other areas of finance including asset pricing, international finance, and corporate finance.}, author = {Madhavan, A.}, citeulike-article-id = {4042274}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/S1386-4181(00)00007-0}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/S1386-4181(00)00007-0}, comment = {in BD}, doi = {10.1016/S1386-4181(00)00007-0}, issn = {13864181}, journal = {Journal of Financial Markets}, keywords = {liquidity, market, market\_microstructure, market\_participants, transparency}, month = {August}, number = {3}, pages = {205--258}, posted-at = {2009-09-03 09:17:23}, priority = {3}, title = {Market microstructure: A survey}, url = {http://dx.doi.org/10.1016/S1386-4181(00)00007-0}, volume = {3}, year = {2000} }

TY - JOUR ID - citeulike:4042274 L3 - citeulike-article-id:4042274 N2 - Market microstructure studies the process by which investors’ latent demands are ultimately translated into prices and volumes. This paper reviews the theoretical, empirical and experimental literature on market microstructure relating to: (1)  price formation , including the dynamic process by which prices come to impound information, (2)  market structure and design , including the relation between price formation and trading protocols, (3)  Transparency , the ability of market participants to observe information about the trading process, and (4)  Applications to other areas of finance including asset pricing, international finance, and corporate finance. IS - 3 JF - Journal of Financial Markets SN - 13864181 EP - 258 TI - Market microstructure: A survey VL - 3 SP - 205 KW - liquidity KW - market KW - market_microstructure KW - market_participants KW - transparency N1 - in BD AU - Madhavan, A PY - 2000/08// UR - http://dx.doi.org/10.1016/S1386-4181(00)00007-0 ER -