Detail Essays in market microstructure Bibliografi Author: Back, Kerry (Advisor); Baruch, Shmuel Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-02698-7     Penerbit: Washington University     Tahun Terbit: 1998     Jenis: Theses - Dissertation Fulltext: 9905192.pdf (0.0B; 0 download) Abstract The dissertation consists of three essays. The first essay studies a specialist call market, such as the one on the New York Stock Exchange, in two different environments. In the first environment, which resembles the current situation, only the specialist has access to the limit-order book. In the second environment, the limit-order book is open. A comparison between the equilibria in the two environments shows that the market-order traders, whether informed or liquidity motivated, are better off in the open-book environment. On the other hand, the liquidity suppliers, whether strategic traders who submit demand schedules or the specialist, benefit from the book being closed. Thus, the results lend credence to a common intuition that states that the closed book helps the liquidity suppliers to profit at the expense of liquidity demanders. Whether private information can live long in financial markets is addressed by the second essay. It is shown that in the continuous-time Kyle model with a risk-averse informed trader, there is an equilibrium in which the derivative of the depth of the market with respect to time is the product of the risk aversion coefficient of the informed trader and the instantaneous variance of the liquidity trades. From this it follows that private information is revealed much more rapidly when the informed trader is risk averse than when he is risk neutral. In the third essay a quote-driven market is modeled. A set of sufficient conditions for the existence of an equilibrium is presented, and the equilibrium is found numerically. In equilibrium, the arrival process of the strategic informed trader is random, and the market makers' price rule is such that the informed trader is indifferent about trading. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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