Economics and Econometrics of Trading in Financial Markets

尼古拉斯·M基弗大卫伊斯利莫琳奥哈拉康奈尔大学SBR-9631583 市场的运作和价格的决定是经济学的核心问题。 这项研究将着眼于金融市场的微观结构，将重点从价格信息转移到其他方面。 相反，这项研究将研究与做市商的订单流中包含的信息。 假设并非所有信息都包含在价格数据中。 做市商和交易者之间的信息是不对称的。 做市商在收到交易员的订单后，会改变自己对标的资产价值的看法，并通过改变其公布的买入价和卖出价做出反应。

Nicholas M. Kiefer David Easley Maureen O'Hara Cornell University SBR-9631583 The operation of markets and the determination of prices are central issues in economics. The research will look at financial market microstructure, shifting the focus away from price information alone. Instead, the research will examine the information contained in order flows with market makers. The assumption is that not all information is contained in price data. Information between market makers and traders is asymmetrical. The market maker changes his beliefs about the value of the underlying asset as orders come in from traders, reacting by changing his posted bid and ask rates.