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Lecture 3, part 1: Information and Prices
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Lecture 3, part 2: Glosten-Milgrom Model
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Lecture 5, part 1: Depth determinants, Kyle Model
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Lecture 5, part 2: Empirics of Illiquidity
Dealer model
About
MarketMicrostructure
Books
[시장의 미시구조와 마이크로 트레이딩]
1. 7장: 시장미시구조론
Code
Contents
1. Glosten-Milgrom: fixed trade size
2. Bayes’ Rule: adverse selection, order costs and inventory risk (Stoll)
3. Kyle, variable trade size
4. Market depth
5. Estimating liquidity determinants
Lecture
[Financial Markets Microstructure]
1. Lecture 3, part 1: Information and Prices
2. Lecture 3, part 2: Glosten-Milgrom Model
3. Lecture 4: Determinants of Liquidity
4. Lecture 5, part 1: Depth determinants, Kyle Model
5. Lecture 5, part 2: Empirics of Illiquidity
Papers
[주몽] GlostenMilgrom.pdf
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