About this ebook
Prices are studied under fundamental analysis (Chapter 1), technical analysis (Chapter 2), time series analysis (Chapter 3) and factor pricing model (Chapter 4). For application, we consider event study and difference-and-difference estimation to examine various maker anomalies (Chapter 5).
For trading process, we first study how to characterize the outcome (Chapter 6). Then we study Roll model that shows how trading cost affects price movement (Chapter 7). Using inventory model, we show that the imbalance of buy and sell orders as a source of bid-ask spread (Chapter 8). By sequential trade model, we demonstrate how information asymmetry leads to bid ask spread and how trade impacts the price moving process as the market learns the underlying state of the world (Chapter 9). Then, we study how strategic behaviour of informed traders changes the trading outcomes in a strategic trade model (Chapter 11). Finally, we examine how behavioural model can be used to explain short-run momentum and long-run reversal of price (Chapter 12).
About the author
Dr. Chiu Yu Ko received his Doctor of Philosophy in Economics from Boston College in 2012. Before moving to US, he obtained his Master of Philosophy in Economics and Bachelor of Business Administration in Insurance, Finance and Actuarial Analysis from the Chinese University of Hong Kong in 2005 and 2007, respectively. He joined Department of Economics, the National University of Singapore as an assistant professor in 2012.
Dr. Ko's research focuses on game theory with application in resource allocation, industrial organization and political economy. For resource allocation, he works on problem of cost sharing. For industrial organization, he specializes in innovation and platform competition. For political economy, he is interested in the design of political system.
Dr. Ko teaches Microeconomic Analysis III" (Undergraduate), Financial Market Microstructure" (Undergraduate), Applied Financial Economics" (Master) and Industrial Organization" (Ph. D) in National University of Singapore. He subscribes to the philosophy that e ective learning requires understanding of multiple facets in both depth and breadth. He also believes that giving students continuous feedback during the course is crucial as it means they learn from their mistakes, consolidate the knowledge they have acquired and gives them the motivation to explore further and deeper.
