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Handbook of Financial Markets: Dynamics and Evolution by Klaus Reiner Schenk-Hoppe, Thorsten Hens

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Chapter 2. How Markets Slowly Digest Changes in Supply and Demand

  1. Introduction 59
    1. Overview 59
    2. Organization 60
    3. Motivation and Scope 61
    4. Approach to Model Building 63
  2. Market Structure 64
  3. Information, Liquidity, and Efficiency 65
    1. Information and Fundamental Values 66
    2. Market Efficiency 67
    3. Trading and Information 68
    4. Different Explanations for Market Impact 69
    5. Noise Trader Models and Informed vs. Uninformed Trading 70
    6. A Critique of the Noise Trader Explanation of Market Impact 71
    7. The Liquidity Paradox: Prices Are Not in Equilibrium 72
    8. Time Scales and Market Ecology 73
    9. The Volatility Puzzle 75
    10. The Kyle Model 76
  4. Large Fluctuations and Long Memory of Order Flow 77
    1. Empirical Evidence for Long Memory of Order Flow 77
    2. On the Origin of Long Memory of Order ...

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