Journal ArticleDOI
Toward a Fully Automated Stock Exchange, Part I
TLDR
In this paper, a Fully Automated Stock Exchange (FASE) is proposed. But it is not a fully automated stock exchange, and it cannot be used in the stock market.Abstract:
(1971). Toward a Fully Automated Stock Exchange, Part I. Financial Analysts Journal: Vol. 27, No. 4, pp. 28-35, 44.read more
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Journal ArticleDOI
Market microstructure: A survey
TL;DR: In this paper, the authors review the theoretical, empirical and experimental literature on market microstructure relating to: (1) price formation, including the dynamic process by which prices come to impound information, (2) market structure and design including the relation between price formation and trading protocols, (3) Transparency, the ability of market participants to observe information about the trading process, and (4) Applications to other areas ofnance including asset pricing, international "nance, and corporate "nance".
Journal ArticleDOI
Market Microstructure: A Survey
TL;DR: A detailed review of the theoretical, empirical and experimental literature on market microstructure with a special focus on informational issues relating to: (1) Price formation and price discovery, including both static issues such as the determinants of trading costs and dynamic issues such the process by which prices come to impound information over time, including the relation between price formation and trading protocols, especially the topic of market transparency as mentioned in this paper.
Patent
Automated Trading System in an Electronic Trading Exchange
TL;DR: In this paper, an automated trading system determines whether an order or quote should be submitted based on, for example, the current market price of an option and theoretical buy and sell prices.
Journal ArticleDOI
Liquidity and Credit Default Swap Spreads
TL;DR: In this paper, the authors present an empirical study of the pricing effect of liquidity in the credit default swaps (CDS) market and construct liquidity proxies to capture various facets of CDS liquidity including adverse selection, search frictions, and inventory costs.
Journal ArticleDOI
The Economics of High-Frequency Trading: Taking Stock
TL;DR: This article reviewed the recent high-frequency trader literature to single out the economic channels by which HFTs affect market quality and came to a data-weighted judgement on the economic value of HFT.