Thierry Foucault – författare

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. In Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa Röell offer a more accurate take on the liquidity of securities markets, its determinants, and its effects. They start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. Market Liquidity takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. Drawing on the analytical tools and empirical methods from a well-defined field within financial economics--market microstructure--the authors confront many striking phenomena in securities markets, from liquidity changes over time to temporary deviations from asset fair values. In the fully revised second edition of Market Liquidity, Foucault, Pagano, and Röell bring readers up to speed on recent changes in market structures and financial regulation. New chapters cover the relationship between financial instability and market liquidity, as well as the role and effects of algorithmic and high-frequency trading. Including new illustrative examples of market malfunction and novel insights from recent research on security markets, Market Liquidity provides a comprehensive and authoritative account on market microstructure.To access the companion website, which includes student and instructor resources, please visit https://global.oup.com/us/companion.websites/9780199936243/

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. In Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa R?ell offer a more accurate take on the liquidity of securities markets, its determinants, and its effects. They start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security''s fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security''s actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. Market Liquidity takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. Drawing on the analytical tools and empirical methods from a well-defined field within financial economics--market microstructure--the authors confront many striking phenomena in securities markets, from liquidity changes over time to temporary deviations from asset fair values. In the fully revised second edition of Market Liquidity, Foucault, Pagano, and R?ell bring readers up to speed on recent changes in market structures and financial regulation. New chapters cover the relationship between financial instability and market liquidity, as well as the role and effects of algorithmic and high-frequency trading. Including new illustrative examples of market malfunction and novel insights from recent research on security markets, Market Liquidity provides a comprehensive and authoritative account on market microstructure.

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. In Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa R?ell offer a more accurate take on the liquidity of securities markets, its determinants, and its effects. They start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security''s fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security''s actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. Market Liquidity takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. Drawing on the analytical tools and empirical methods from a well-defined field within financial economics--market microstructure--the authors confront many striking phenomena in securities markets, from liquidity changes over time to temporary deviations from asset fair values. In the fully revised second edition of Market Liquidity, Foucault, Pagano, and R?ell bring readers up to speed on recent changes in market structures and financial regulation. New chapters cover the relationship between financial instability and market liquidity, as well as the role and effects of algorithmic and high-frequency trading. Including new illustrative examples of market malfunction and novel insights from recent research on security markets, Market Liquidity provides a comprehensive and authoritative account on market microstructure.

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security''s fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security''s actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices.

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as 'market microstructure.' Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices.

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security''s fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security''s actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices.

The latest cutting-edge research on market microstructure

Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.