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Lecture Notes in Economics and Mathematical Systems

Strategic Trading in Illiquid Markets

Authors: Mönch, Burkart

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About this book

The Area of Research and the Object of Investigation In this thesis we will investigate trading strategies in illiquid markets from a market microstructure perspective. Market microstructure is the academic term for the branch of financial economics that investigates trading and the organization of security markets, see, e. g. , Harris (2002). Historically, exchanges evolved as a location, where those interested in buy­ ing or selling securities could meet physically to transact. Thus, traditionally security trading was organized on exchange floors, where so-called dealers arranged all trades and provided liquidity by quoting prices at which they were willing buy or sell. Consequently, the initial surge of the market mi­ crostructure literature focused predominantly on this type of market design, which is often referred to as quote-driven. Nowadays, the interest is shifting towards order-driven markets. Beginning with the Toronto Stock Exchange in the mid 1970s and increasing in fre­ quency and scope, this market structure has emerged as the preeminent form of security trading worldwide. In order-driven markets, exchanges arrange trades by matching public orders, often by employing automatic execution systems. Introduction A major difference between a quote-driven and an order-driven market arises from the transparency pre- and post-trade. The pre-trade transparency con­ cerns the question whether the order book is visible to the keeper only, or whether it is open to the public.

Table of contents (4 chapters)

Table of contents (4 chapters)
  • Introduction

    Pages 1-8

  • Modeling Feedback Effects with Stochastic Liquidity

    Pages 9-46

  • Optimal Liquidation Strategies

    Pages 47-78

  • The Navigation of an Iceberg: The Optimal Use of Hidden Orders

    Pages 79-116

Buy this book

eBook $69.99
price for USA in USD
  • ISBN 978-3-540-26315-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA in USD
  • ISBN 978-3-540-25039-5
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Strategic Trading in Illiquid Markets
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
553
Copyright
2005
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-26315-9
DOI
10.1007/b137407
Softcover ISBN
978-3-540-25039-5
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XIV, 118
Number of Illustrations
29 b/w illustrations
Topics

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