The Microstructure of Stock Markets
AbstractWe survey the literature analysing the price formation and trading process, and the consequences of market organization for price discovery and welfare. We develop a united perspective on theoretical, empirical and experimental approaches. We discuss the evidence on transaction costs and the price impact of trades and its analyses in terms of adverse selection, inventory costs and market power. We review the extent to which the associated frictions can be mitigated by such features of market design as the degree of transparency, the use of call auctions, the discreteness of the pricing grid and the regulation of competition between liquidity suppliers or exchanges.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3288.
Date of creation: Mar 2002
Date of revision:
Contact details of provider:
Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
Find related papers by JEL classification:
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-14 (All new papers)
- NEP-CFN-2003-03-14 (Corporate Finance)
- NEP-FMK-2003-03-14 (Financial Markets)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Biais, Bruno & Mariotti, Thomas, 2002.
"Strategic Liquidity Supply and Security Design,"
CEPR Discussion Papers
3369, C.E.P.R. Discussion Papers.
- Bruno Biais & Thomas Mariotti, 2003. "Strategic Liquidity Supply and Security Design," STICERD - Theoretical Economics Paper Series 445, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Biais, Bruno & Mariotti, Thomas, 2003. "Strategic Liquidity Supply and Security Design," IDEI Working Papers 160, Institut d'Économie Industrielle (IDEI), Toulouse, revised Mar 2004.
- Biais, Bruno & Mariotti, Thomas, 2005. "Strategic Liquidity Supply and Security Design," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
- Décamps, Jean-Paul & Lovo, Stefano, 2003.
"Market Informational Inefficiency, Risk Aversion and Quantity Grid,"
IDEI Working Papers
177, Institut d'Économie Industrielle (IDEI), Toulouse.
- LOVO, Stefano & DECAMPS, Jean-Paul, 2003. "Market informational inefficiency, risk aversion and quantity grid," Les Cahiers de Recherche 770, HEC Paris.
- DESGRANGES, Gabriel & FOUCAULT, Thierry, 2000.
"Reputation-based pricing and price improvements in dealership markets,"
Les Cahiers de Recherche
716, HEC Paris, revised 01 Mar 2002.
- Desgranges, Gabriel & Foucault, Thierry, 2002. "Reputation-Based Pricing and Price Improvements in Dealership Markets," CEPR Discussion Papers 3359, C.E.P.R. Discussion Papers.
- Giovanni Petrella, 2010. "MiFID, Reg NMS and competition across trading venues in Europe and the USA," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 18(3), pages 257-271, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.