The Microstructure of Stock Markets
Bruno Biais, Larry Glosten and Chester Spatt
Revised March 8, 2002
Abstract
We survey the literature analysing the price formation and trading process, and the consequences of market organization for price discovery and welfare. We develop a united perspective on theoretical, empirical and experimental approaches. We discuss the evidence on transaction costs and the price impact of trades and its analyses in terms of adverse selection, inventory costs and market power. For more information about this article and other related articles click
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