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Market Liquidity
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Market Liquidity: Theory, Evidence, and Policy

Thierry Foucault, Marco Pagano, and Ailsa Roell

Abstract

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. This book offers a more accurate and authoritative take on liquidity and price discovery. The book starts 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 there 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 em ... More

Keywords: securities, liquidity, price discovery, security price formation, market microstructure, arbitrage prices

Bibliographic Information

Print publication date: 2013 Print ISBN-13: 9780199936243
Published to Oxford Scholarship Online: September 2013 DOI:10.1093/acprof:oso/9780199936243.001.0001

Authors

Affiliations are at time of print publication.

Thierry Foucault, author
HEC Paris International Business School

Marco Pagano, author
University of Naples Federico II

Ailsa Roell, author
Columbia University

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