Market Microstructure: Theory and Chinese Experience

Author: Shi Donghui Sun Peiyuan
Publisher:
Publish Date: 2005-12-01
Features: This book is divided into two parts:
Part 1, from Chapter 1 to Chapter 5, is the theoretical foundation part, which mainly introduces important aspects of microstructure theory such as price discovery models, measurement methods of market performance, and liquidity and asset pricing. Based on this theoretical knowledge, it explores the optimal design, development trends, and profound impact of the microstructure of securities markets on the evolution of securities trading market structures.
Part 2, from Chapter 6 to Chapter 12, primarily consists of content derived from a series of recent empirical studies on the microstructure of the Chinese stock market. These studies employ fundamental theories and methods of microstructure to characterize the characteristics of the Chinese stock market's microstructure and its impact on market operating performance, which can be referred to as "Chinese experience." The formal narration of each part and each chapter will adopt a unified format as much as possible. Part 1 emphasizes the ideas generated by the models and their guiding significance for microstructure design, while Part 2 focuses on the practices and experiences of the Chinese stock market in terms of microstructure.
In the postscript section of the book, we summarize the development of microstructure theory to see what we can learn from it, what questions remain unknown, and which directions require further research in the future.