Hello,
I'm trying to learn the theory of market making strategy (eg. what strategies are employed in exchanges such as NASDAQ, NYSE etc...), but am very new to the field of finance. Can anyone recommend some good papers on market making strategies, as well as more general papers on quantitative finance?
Sorry, I know this is a broad question, but it would be very helpful!
Social Structure and Intermediation: Market-making Strategies in International Exchange
Behavioral finance: Finance with normal people
In my opinion Applied Financial Economics papers would be a good starting point about this issues.
Regards.
http://www.tandfonline.com/loi/rafe20#.VhU4Rfl_Oko
The literature review in chapter 2 of the attached will likely help. It specifically addresses the long established papers and concepts underlying Modern Portfolio Theory and Behavioural Finance as well as practitioner approaches. With these papers as your foundation, you can then build on it with more recent literature.
Thesis An analytical tool to aid the reflective selection of equity...
A basic general reference on this field is Market Microstructure Theory by M. O'Hara.
About ten years ago Prof. Cliff left a trailblazing set of papers on the auction theory
https://www.cs.bris.ac.uk/~dc/
Dear Adam Hughes
Please find the three attached file may be good paper for market making and finance
best regards,
Dear Dr. Hughes,
You should definitely take a look at "Information in Securities Markets: Kyle Meets Glosten and Milgrom", Back, K. and Baruch, S. (2004), Econometrica, 72: 433–465. doi: 10.1111/j.1468-0262.2004.00497. and the references therein. You can also take a look at my paper on "Political Environment and Financial Markets" on my RG page which models and sights literature on Market Microstructure. I hope it is of some help. SKM QC