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An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. Institution level order flow is much more informative than cross sectionally aggregated […]
Market Microstructure Market microstructure studies the process by which investors’ latent demands are ultimately tran slated into prices and volumes. This paper reviews the theoretical, empirical and experimental literature on \market microstructure relating to : price formation, including the dynamic process by which prices come to impound information, marketstructure and design, including the relation between […]