Market Microstructure in Emerging and Developed Markets

Contents

Acknowledgments

PART I Introduction to Market Microstructure

1   Market Microstructure: An Overview

H. Kent Baker and Halil Kiymaz

2   Microstructure of Equity Markets

Nazli Sila Alan, Recep Bildik, and Robert A. Schwartz

3   Microstructure of the Euro-Area Government Bond Market

Madhucchand Darbha and Alfonso Dufour

4   Microstructure Developments in Derivative Markets

James T. Moser

5   The Microstructure of Currency Markets

Carol Osler and Xuhang Wang

6   The Architecture of Securities Market Supervision before and after the Crisis

Donato Masciandaro and Marc Quintyn

7   Financial Market Contagion

Thadavillil Jithendranathan

PART II Market Architecture and Design

8   Market Architecture: A Conceptual Framework and Real-World Systems

Massimiliano Marzo

9   Designing a Trading Market

Massimiliano Marzo

10 Current Issues in Market Design

Carole Comerton-Forde

11 Decimalization and Discreteness

Brittany Cole and Bonnie Van Ness

12 Dark Trading

Hans Degryse, Geoffrey Tombeur, Mark Van Achter, and Gunther Wuyts

PART III Price Formation and Price Discovery

13 Determinants of Trading Costs

Yu-Chuan Huang

14 Market Makers and Liquidity

Frank J. Sensenbrenner

15 Liquidity beyond the Inside Spread: The Price Impact of Trading

Paul J. Irvine

16 Price Discovery in International and Emerging Asset Markets

Yiuman Tse and Michael Williams

17 Holding Back Volatility: Circuit Breakers, Price Limits, and Trading Halts

David Abad and Roberto Pascual

PART IV Transaction Costs, Timing Costs, ...