Article1995

Market microstructure theory

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

Foreword. 1. Markets and Market--Making. 2. Inventory Models. 3. Information--Based Models. 4. Strategic Trader Models I: Informed Traders. 5. Strategic Trader Models II: Uninformed Traders. 6. Information and the Price Process. 7. Market Viability and Stability. 8. Liquidity and the Relationships between Markets. 9. Issues in Market Performance.

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2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2006Realized Variance and Market Microstructure Noise 2000Market microstructure: A survey 2001Common factors in prices, order flows, and liquidity 2007MIDAS Regressions: Further Results and New Directions 2007Corporate Bond Market Transaction Costs and Transparency 2006The Information in Option Volume for Future Stock Prices 2006Liquidity and Asset Prices

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