Market liquidity : Theory, evidence, and policy

By:

Foucault, Thierry

Contributor(s):

Pagano, MarcoRoell, Ailsa

Material type: Text

TextLanguage: English Publication details: New York : Oxford University Press, 2023.Edition: 2nd edDescription: xv, 510pISBN:

9780197542064

Subject(s):

Other classification:

X81:8 R3

Summary: 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. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security's actual transaction price may deviate from its fundamental ...

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Item type	Current library	Home library	Call number	Status	Barcode
Textual	South Campus Library	South Campus Library	X81:8 R3 (Browse shelf(Opens below))	Available	SC1690861

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Previous	X81:8, R1 Financial risk management and derivative instruments	X81:8 R2 Risk analytics : From concept to deployment	X81:8, R3 Derivatives markets, valuation and risk management	X81:8 R3 Market liquidity : Theory, evidence, and policy	X81:8 R4 Introduction to derivative securities, financial markets, and risk management	X81:8 R4 Understanding financial risk management	X8194.2'P R4 Economics of public and private healthcare and health insurance in India	Next

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. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security's actual transaction price may deviate from its fundamental ...

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