Market Liquidity: Theory, Evidence, and Policy

Thierry Foucault, Marco Pagano, Ailsa Röell  ·  2013

Reference. Foucault, T., Pagano, M. & Röell, A. (2013). Market Liquidity: Theory, Evidence, and Policy. Oxford University Press. ISBN 978-0-19-993624-3.

  • Claim: Liquidity is shaped by trading frictions (asymmetric information, order-processing and inventory costs) and by how a market is designed.
  • Method: Theoretical models of price formation and dealer behaviour, set against empirical evidence and policy questions.
  • Matters: Explains where the bid–ask spread a market maker earns comes from.
  • Connects to: Hasbrouck · Cartea–Jaimungal–Penalva
  • Code: —
Market Liquidity: Theory, Evidence, and Policy cover
Cover of Market Liquidity: Theory, Evidence, and Policy on the Open Library.