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Market microstructure: A review from down under
Author(s) -
Berkman Henk,
ComertonForde Carole
Publication year - 2011
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2010.00377.x
Subject(s) - market microstructure , financial market , automation , business , empirical research , economics , accounting , industrial organization , finance , engineering , order (exchange) , mechanical engineering , philosophy , epistemology
The early automation of the Australian and New Zealand financial markets provided researchers with access to high‐frequency data to undertake extensive empirical market microstructure research. We use this anniversary edition of Accounting and Finance to review some of this research and to discuss the development of the Australian and New Zealand markets since their automation. We identify issues currently facing the markets and highlight potential areas for future research. The paper also provides a review of market microstructure theory on inventory control models and asymmetric information models.