Pieces on

ISBN-13: 9783836421140 / Angielski / Miękka / 2007 / 188 str.

Gautam George

Opis

This collection contributes to the fields of asset pricing and financial marketmicrostructure.Two essays study the continuous double auction (CDA), the operating modeof all major stock exchanges. Agent based modelling techniques are used toobserve institutional characteristics of CDA markets. Agent based modelling isa novel computational approach, increasingly being applied to financial andeconomic research. The agent based markets in this work are isolated fromartefacts of trader behaviour by employing naive agents, called zero intelligenceagents. Such primitive markets possess actual features of real marketspertaining to efficiency, convergence to equilibrium, liquidity effects, andtime series properties of price and return. In the second essay price formationin CDA markets with a passive market maker is analysed, and a price densityfunction developed.The third piece empirically investigates the structure of equity returns autocorrelationand presents two stylised facts that reveal anomalous behaviour.These facts are justified by turning to market liquidity as an explanatoryfactor. An implication is that return reversals deliver profits to traders whoundertake the purveyance of liquidity services when opportune; in support ofthis, a liquidity based trading strategy that delivers significant profits is presented.This work is intended for practitioners and academics involved in financialasset pricing, market design and regulation.