Market Liquidity: Theory, Evidence, and Policy
"Market Liquidityby Professors Foucault, Pagano and Röell is a wonderful addition to the literature on how markets work; why, sometimes, they don't work as we might wish; and how this affects regulation and corporate decision making. The book is rich in detail, covering the institutional structure of financial markets and the economic and statistical models we use to understand them. While structured as a textbook, it can be read in different ways. Those less interested in the mathematical details will profit from the beautifully written description of the models, some of which are new, and their economic lessons."--Lawrence R. Glosten, S. Sloan Colt Professor of Banking and International Finance, Columbia University"Ailsa, Marco and Thierry need to be commended for writing this important and timely contribution on the topic of liquidity that has not just matured over the past twenty years, but which has in fact taken a center-stage as practitioners, policy-makers and academics use liquidity of markets as a barometer for the 'healthy functioning' of economies. The book is rigorous and precise, which is useful given liquidity has many connotations. I strongly recommend the book to all interested in understanding liquidity."--Viral Acharya, C.V. Starr Professor of Economics, New York University"This book is a highly readable introduction to market microstructure, emphasizing both practical institutional details and applications of theoretical and empirical research to the real word of trading.  It is a not only a useful introduction to market microstructure for practitioners but also a great textbook for students at advanced undergraduate, masters, and even Ph.D. levels.  I like in particular the numerous connections the book makes between trading institutions and public policy issues."--Albert "Pete" Kyle, Charles E. Smith Chair Professor of Finance, University of Maryland"Drawing on their broad and extensive knowledge of market microstructure, three leading teachers and researchers have written a comprehensive guide to the principles and practicalities of securities trading.Market Liquiditycomprehensively covers the dealer and limit order markets that account for the preponderance of trading volume. It provides perspectives on these markets from the viewpoints of market operators, traders, and regulators, and connects these markets to real corporate and investment decisions. The exposition is extremely systematic, lucid and accessible. Students and practitioners alike will find this text to be current and invaluable."--Joel Hasbrouck, Kenneth G. Langone Professor of Finance and Business Administration, New York University