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:
The first part, from Chapter 1 to Chapter 5, is the theoretical foundation section, which primarily introduces important aspects of microstructure theory such as price discovery models, market performance measurement methods, 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.
The second part, 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 apply fundamental theories and methods of microstructure to characterize the characteristics of the Chinese stock market's microstructure and its impact on market performance, which can be referred to as Chinese experience. The formal narration of each part and each chapter will adopt as uniform a format as possible. The first part emphasizes the ideas generated by the models and their guiding significance for microstructure design, while the second part focuses on the practice and experience 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 what directions require further research in the future.