@Article{Garman1976,
author="Garman, Mark B.",
title="Market Microstructure",
journal="Journal of Financial Economics",
year="1976",
volume="3",
pages="257--275",
optkeywords="dealing",
optkeywords="microstructure",
optkeywords="exchange",
optkeywords="inventory",
optkeywords="auction",
abstract="It is assumed that a collection of market agents can be treated as a statistical ensemble. Their market activities are depicted as the stochastic generation of market orders according to a Poisson process. The objective is to effectively describe the {\textquoteright}temporal microstructure{\textquoteright}, or moment-to-moment trading activities in asset markets. Two basic models, {\textquoteright}dealership{\textquoteright} vs {\textquoteright}auction{\textquoteright} markets (and their variants) are put forth. Implications are drawn from each model. The implications include several testable hypotheses regarding the aggregate behavior of markets and market-makers as well as some qualitative insight into the transaction-to-transaction nature of realistic exchange processes.",
optnote="exported from refbase (http://www.skuberski.com/refbase/show.php?record=751), last updated on Thu, 05 Nov 2009 08:52:49 +0900",
language="English"
}