Price Formation

Price formation is an information-gathering process which ensures that market participants know enough about the prices of the assets being traded in the market, so that they can make rational decisions about the buying and selling of goods and services.

References

  1. Janeway, William H. Doing capitalism in the innovation economy: Markets, speculation and the state. Cambridge University Press, 2012.
  2. Harris, Larry. Trading and exchanges: Market microstructure for practitioners. OUP USA, 2003.
  3. Fama, Eugene F. "Efficient capital markets: A review of theory and empirical work." The journal of Finance 25, no. 2 (1970): 383-417.
  4. Fama, Eugene F., and Kenneth R. French. "Size, value, and momentum in international stock returns." Journal of financial economics 105, no. 3 (2012): 457-472.
  5. Aldridge, Irene. High-frequency trading: a practical guide to algorithmic strategies and trading systems. Vol. 604. John Wiley & Sons, 2013.
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