Market Microstructure: Theory and Empirics
AbstractThis paper reviews the literature on market microstructure. Particular emphasis is given to the research dealing with the impact that a specific trading mechanism might have on price behaviour and with the comparison of the performance of alternative market structures. Theoretical models and empirical studies investigating their implications are explored. The major statistical properties and reguliarities of microstructural data are discussed.
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Bibliographic InfoPaper provided by Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 1999/19.
Date of creation: 28 Nov 1999
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-05-03 (All new papers)
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