Market Microstructure: A Survey

By Ananth Madhavan. 2000

1,148 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/92c3866089c0bc821190ae15f69bcbe6e546cf38

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Citations in the corpus

Realized Volatility: A Review (2008, background): “For additional references to this literature, see O’Hara (1995), Madhavan (2000), Hasbrouck (2004), and Biais et al. (2005).”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, background): “…one, which however can be justified in the light of recent theoretical and empirical work on financial market microstructure (see e.g. the survey in Madhavan (2000)): for instance, Madhavan and Smidt (1993) develop a market maker model of a financial market with informed and uninformed traders,…”
Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances (2010, background): “(2004), as well as practitioner summaries contained within Madhavan (2000) and”
Liquidity and Asset Prices (2005, positive): “Surveys of market microstructure include O’Hara (1995), Madhavan (2000), Biais et al. (2002), and Harris (2003).”
Trading Your Neighbor's Etfs: Competition or Fragmentation? (2001, neutral): “9 See O Hara (1995) and Madhavan (2000) for surveys of related theoretical approaches to the fragmentation question.”
Limit Order Markets: A Survey 1 (2008, background): “Theoretical and numerical analysis in Harris (1998), Angel (1992), and Obizhaeva and Wang (2005) solves for optimal trading strategies that minimize expected costs for a riskneutral investor.”
Leaning Against the Wind (2007, neutral): “Therefore, an (7)These random contact time provide a simple way to formalize Biais et al. [2005]’s view that “only small subset of all economic agents become full-time traders and stand ready to accommodate the trading needs of the rest of the population.”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, positive): “Several decades of research document robust empirical evidence of return reversals in daily, weekly, and monthly calendar-time portfolios [see Madhavan (2000) for a review of this literature]. Our study differs from these prior studies by examining changes in liquidity provision ahead of anticipated”
The Diversity of High-Frequency Traders (2013, positive): “These results are in line with market making theory (see Madhavan, 2000, for an overview).”
Corporate Bond Market Transaction Costs and Transparency (2007, background): “…to less dealer participation, less competition, less liquidity, and ultimately higher transaction costs.8 The academic literature on price transparency yields mixed predictions on the effect of changes in transparency (see O’Hara (1997), Madhavan (2000), and Biais, Glosten, and Spatt (2005)).”
Information asymmetry and investment-cash flow sensitivity (2008, background): “, Madhavan (2004) and O’Hara (2003)) have suggested”
Statistical Properties of Microstructure Noise (2013, neutral): “See, for example, the seminal paper of Black (1986) and comprehensive reviews of Madhavan (2000), O’Hara (2003), Stoll (2003) and Hasbrouck (2007), among others.”
On Information Asymmetry Metrics (2000, neutral): “the spread by Madhavan, Richardson, and Roomans (1997), George, Kaul, and”
Separating Microstructure Noise from Volatility (2006, background): “Hence, the assumed model (c.f. Assumption 1 and 2) captures the main effects in the data.”