Microstructure and Noise in Financial Markets - Peter Lerner
Market microstructure is a discipline studying the
features of the financial markets, which are the
result of deliberate design as well as economic laws
and technological infrastructure. It has recently
increased in importance because of the propagation
of programmatic trading and the proliferation of
ever more sophisticated financial fraud. My book
deals with the subject of microstructure of
financial markets not as a collection of
miscellaneous results but as a connection between
few underlying ideas. These ideas concern the
formation of the bid-ask spread as a result of
information asymmetry, order processing and
inventory maintenance and consequent bid-ask bounce,
the influence of frictions on volatility and the
relationship between natural (continuous) and
transaction (discrete) time. Empirical examples
involve event studies of the developed (NYSE,
Nasdaq) as well as emerging markets such as Russian
sovereign bond market in the late 90s and Venezuelan
short-term debt.
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