{"product_id":"pieces-on-asset-pricing-and-microstructure-von-gautam-george","title":"Pieces on Asset Pricing and Microstructure","description":"\u003cp\u003eRevision with unchanged content. This collection contributes to the fields of asset pricing and financial market  microstructure.  Two essays study the continuous double auction (CDA), the operating mode  of all major stock exchanges. Agent based modelling techniques are used to  observe institutional characteristics of CDA markets. Agent based modelling is  a novel computational approach, increasingly being applied to financial and  economic research. The agent based markets in this work are isolated from  artefacts of trader behaviour by employing naive agents, called zero intelligence  agents. Such primitive markets possess actual features of real markets  pertaining to efficiency, convergence to equilibrium, liquidity effects, and  time series properties of price and return. In the second essay price formation  in CDA markets with a passive market maker is analysed, and a price density  function developed.  The third piece empirically investigates the structure of equity returns autocorrelation  and presents two stylised facts that reveal anomalous behaviour.  These facts are justified by turning to market liquidity as an explanatory  factor. An implication is that return reversals deliver profits to traders who  undertake the purveyance of liquidity services when opportune; in support of  this, a liquidity based trading strategy that delivers significant profits is presented.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783639412949\"\u003e\u003ch3\u003eMarkets, Liquidity, Returns  Autocorrelation, Price Formation\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783639412949","offer_id":39490952233053,"sku":"9783639412949","price":68.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/208e62c1-ad09-462d-8044-ef3e5106d00c.jpg?v=1776055418","url":"https:\/\/shop.autorenwelt.de\/en\/products\/pieces-on-asset-pricing-and-microstructure-von-gautam-george","provider":"Autorenwelt Shop","version":"1.0","type":"link"}