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https://ir.iimcal.ac.in:8443/jspui/handle/123456789/5932| Title: | Market Microstructure and Liquidity |
| Authors: | Banerjee, Ashok |
| Keywords: | Kyle’s Lambda Hui-Heubel (HH) Liquidity Ratio Market Efficient Coefficient (MEC) Liquidity-Adjusted Capital Asset Pricing Model (LCAPM) |
| Issue Date: | Jan-2013 |
| Publisher: | The Financial Research and Trading Laboratory (FRTL), IIM Calcutta |
| Series/Report no.: | Vol.1;No.6 |
| Abstract: | A financial market is a place where traders assemble to trade financial instruments. Such trades take place between willing buyers and willing sellers. The market place may be a physical market or an electronic trading platform or even a telephone market. The trading rules and trading systems used by a market define its market structure. Every market has procedures for matching buyers to sellers for trades to happen. In quote-driven markets dealers participate in every trade. On the other hand, in order-driven markets, buyers and sellers trade with each other without the intermediation of dealers. |
| Description: | Biosketch: Ashok Banerjee, Ph.D., is Professor, Finance and Control, Indian Institute of Management Calcutta (IIM-C). He is also the faculty in-charge of the Financial Research and Trading Lab at IIM-C. His primary research interests are in areas of Financial Time Series, News Analytics and Mergers & Acquisitions. |
| URI: | https://ir.iimcal.ac.in:8443/jspui/handle/123456789/5932 |
| Appears in Collections: | Issue 06, January 2013 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Market Microstructure and Liquidity.pdf | Market Microstructure and Liquidity | 876.03 kB | Adobe PDF | View/Open |
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