Summary
Summary of the Article The Microstructure of Financial Markets Frank_de_Jong,_Barbara_Rindi
- Course
- Institution
This is a book actually. I summarized a little bit what is important and what was on the slides.
[Show more]
Seller
Followclaudiughiuzan
Reviews received
Content preview
The Microstructure of Financial MarketsFRANK DE JONG
BARBARA RINDI
1.1 Trading protocol
- 1.1.1 Order-driven markets
o Auction markets
- 1.1.2 Quote-driven markets
- 1.1.3 Hybrid markets
- 1.1.4 Transparency
1.2 Market Structure
, - 1.2.1 Market structures around the world
- 1.2.2 The market structure of the NYSE
- 1.2.3 The Hybrid Market model
1.3 Orders and order properties
- Example 1: Batch opening and closing auction
- Example 2: Limit order book (LOB)
- Example 3: LOB and excess volatility price ranges
1.1.1 Order-driven markets
o Auction markets
- Auction markets
▪ The prevailing type of market in the leading financial centres at present is the auction.
▪ Auction markets can take two forms:
• call markets or
• continuous auctions.
▪ In call (or batch) auctions, orders are submitted simultaneously, whereas in continuous
auctions agents can submit orders at any time during the trading phase.
▪ In auction markets, there are two basic types of order –
• limit orders and
• market orders.
▪ A limit order specifies both a quantity and a maximum price or minimum price for execution
depending on whether it is a buy or a sell order.
▪ A market order only specifies a quantity and will be executed at the best price available.
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying these notes from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller claudiughiuzan. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy these notes for $3.19. You're not tied to anything after your purchase.
Can Stuvia be trusted?
4.6 stars on Google & Trustpilot (+1000 reviews)
56326 documents were sold in the last 30 days
Founded in 2010, the go-to place to buy study notes for 14 years now