The Microstructure of Stock Markets

@inproceedings{Biais2002TheMO,
  title={The Microstructure of Stock Markets},
  author={Bruno Biais and Lawrence R. Glosten and Chester Spatt},
  year={2002}
}
We survey the literature analyzing the price formation and trading process, and the consequences of market organization for price discovery and welfare. We develop a uni ̄ed perspective on theoretical, empirical and experimental approaches. We discuss the evidence on transactions costs and the price impact of trades and relate the evidence to such frictions as adverse selection, inventory costs and market power. We review the extent to which the associated frictions can be mitigated by such… CONTINUE READING

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