A comprehensive guide to the dynamic area of finance known as market microstructure
Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level―and taking into account market structure, price discovery, information flows, transaction costs, and the trading process―market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions.
Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process.
If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
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H. KENT BAKER, CFA, CMA, is University Professor of Finance at the Kogod School of Business, American University in Washington, D.C. As one of the most prolific finance academics, he is the author or editor of 19 books, and more than 150 refereed articles in such publications as the Journal of Finance, Journal of Financial and Quantitative Analysis, Financial Management, Financial Analysts Journal, Journal of Portfolio Management, and Harvard Business Review. Professor Baker serves on the editorial boards of six journals including the Journal of Emerging Markets and Journal of Financial Economic Policy. He has consulting and training experience with more than 100 organizations. Professor Baker received a BSBA from Georgetown University; MEd, MBA, and DBA degrees from the University of Maryland; and an MA, MS, and two PhDs from American University. He also holds CFA and CMA designations.
HALIL KIYMAZ, CFA, is Bank of America Professor of Finance in the Crummer Graduate School of Business at Rollins College. Professor Kiymaz has published more than 60 articles in scholarly and practitioner journals and coedited two books. His research has appeared in the Journal of Banking and Finance, Financial Review, Global Finance Journal, Journal of Applied Finance, Journal of Economics and Finance, Review of Financial Economics, and Quarterly Journal of Business and Economics, among others. Professor Kiymaz also serves on the editorial board of numerous journals and is the area editor of the International Journal of Emerging Markets. He has consulting and training experience with various governmental and public organizations such as the Central Bank of Turkey, Bankers Association, and Stalla. Professor Kiymaz received a BS from Uludag University and an MBA, MA, and PhD from the University of New Orleans.
The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Market Microstructure in Emerging and Developed Markets aims to provide professionals and students alike with a better understanding of how today's financial markets work.
Engaging and informative, Market Microstructure in Emerging and Developed Markets offers a detailed look at one of the most dynamic areas of financial economics. While the theory of market microstructure applies to the exchange of real or financial assets, this book focuses on the microstructure of financial markets and thus involves trading a financial asset such as a stock, bond, or other instrument.
Comprising five parts, this timely guide contains detailed discussions covering everything from the market microstructure of various financial markets and market architecture/design to price formation/discovery and transaction costs, timing, and information disclosure. You will also become familiar with a wide array of market microstructure issues related to emerging markets, such as the price behavior in new European Union emerging markets and stock market efficiency in emerging markets.
Market microstructure is constantly evolving to keep pace with advances in technology, regulations, competition, globalization, and changing investor preferences. If you intend on keeping up with one of the most demanding areas of finance, this is the book you will need.
The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Market Microstructure in Emerging and Developed Markets aims to provide professionals and students alike with a better understanding of how today's financial markets work.
Engaging and informative, Market Microstructure in Emerging and Developed Markets offers a detailed look at one of the most dynamic areas of financial economics. While the theory of market microstructure applies to the exchange of real or financial assets, this book focuses on the microstructure of financial markets and thus involves trading a financial asset such as a stock, bond, or other instrument.
Comprising five parts, this timely guide contains detailed discussions covering everything from the market microstructure of various financial markets and market architecture/design to price formation/discovery and transaction costs, timing, and information disclosure. You will also become familiar with a wide array of market microstructure issues related to emerging markets, such as the price behavior in new European Union emerging markets and stock market efficiency in emerging markets.
Market microstructure is constantly evolving to keep pace with advances in technology, regulations, competition, globalization, and changing investor preferences. If you intend on keeping up with one of the most demanding areas of finance, this is the book you will need.
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