文档介绍：AUP-Zovko Thesis:AUP/Buijn 01-09-2008 12:12 Pagina 1
UvA Dissertation Topics in Market Microstructure Ilija I. Zovko Topics in Market Microstructure
Faculty of Economics and Business Ilija I. Zovko
Ilija Zovko obtained his MSc in Theoretical physics and MBA at the University of
Zagreb. Following that, he obtained an MA in Economics at the European University
Institute in Florence. His PhD research was done in large part at the Santa Fe Institute
in New Mexico (USA) where he was a resident graduate fellow, and in part at the
Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) at the University
of Amsterdam.
Market microstructure is a study of the processes through which the investors’ predic-
tions of the future and their trading strategies determine market prices. Recent
advances in market microstructure have been made possible by the proliferation of
computers in the trading process and the availability of high quality financial data.
This has attracted researchers from various disciplines (., finance, physics, computer
science) creating an interdisciplinary research arena with mon goal of under-
standing a plicated – yet very well documented by data – system of a large
number of interacting intelligent agents.
This book contains four papers in which the authors investigate the interactions of
investors’ strategies and the resulting aggregate properties of transaction prices.
9 789056 295387
Topics in Market
Microstructure
The publication of this book is in part made possible by the Center for
Nonlinear Dynamics in Economics and Finance (CeNDEF) at the
University of Amsterdam
Lay out: LaTeX, .org/
Cover design: René Staelenberg, Amsterdam
Cover illustration: Wordle by Jonathan Feinberg, /
ISBN 978 90 5629 538 7
NUR 780
© I. I. Zovko / Vossiuspers UvA – Amsterdam University Press, 2008
All rights reserved. Without limiting the rights under copyright
reserved above, no part of this book may be reproduced,