微观市场结构上课课件ms what is market

ClassWhatisaYu-Jane市场形成的背 年月日， 从2008,7月4日发起万人团购，到7月28日， 期，10月已有三万多人，现在每天还有数百定．不参与任 ．楼盘开发出来以后交给中介机构 ．大型住房批发市场， ．性质：不收任何市民报名费用和团购费用。不收房地营运方 购房者增加了其与开发商的bargaining 成本 来 自 赞助车牌拍卖流程— 标 ．．价格：2100元（其中100元是投标卡，2000元是押车牌拍卖流程——現場 缺点：对行情不是第一线资方式登 /，进网上竞拍的主页，输 和竞投 缺点：对行情不是第一线资方式：按照中的语音提示，一步步操作。竞标，可以再次拨打这个，进行结果查询。竞价方 能在目前系统时间的最低价上下浮动区间范围内进投标拍 Hint:常见拍卖方递增直到以最高价（达到或超过底价）击槌的一种拍卖。增价拍卖是最古老并一直占地位的一个拍卖种类，在我国的拍卖活荷兰式减直到第一个竞买人应价（达到或超过底价）时击槌的一种拍1-3淘宝．亚洲最大网络零售商圈，目前业务 ．截至2008年一季度，淘宝网 年全 额突 市场模 Hint:Keytocentralinformationasymmetry,tradingcostsII.Ideal2-1WhydopplsnotgetTradingcosts:Timelimitation,TomakechangeisacostInformationasymmetry:themarket小學老師，公務ismoreMarketliquidity再婚市場liquidityislow,sopplsdarenottotry网 市场模 多对配对条(tradingrulesreducetrading国内大 、身高、婚史、学历、月薪、居住地等 QuestionsaboutWhatisbeingtraded?WhowillIpotentiallyconsidertradingwith?（條件Whenandwherewillwetrade?（約會地點，時間Whatarethe“rulesofengagement”?（雙方如何界定Howwillourtradesbesettled?（如何簽約Howwillweresolvepost-tradedisputes?（付款WhatwillwediscloseaboutourtradetootherTheIdealGeneralLargenumbersofbuyersandsellswhoactindependently.NotradercanaffecttheNocostsofPricesand tiesareinfini 2-3TheIdealIndividualbuyersandsellsmightfindeachotherwithoutacentralizedmarket,andmightvoluntarilytrade.Thisresultsinavarylargenumberoffeasibletradepossibilities.Thecompetitiveequilibriumistheone izesthetotalof(sellers’profits)+(buyers’AnauctioneercallsoutaAlltraderstruthfullyrevealtheirIfthereisanimbalance,theauctioneerrevisestheprice.Thisprocesscontinuesuntilthereisnoimbalance.WhatdidweThecontractingpartiesoftenhavenootherrelationship.Adherencetocontractsmaybedifficulttoverify. mentofcontractmaybeMarketsdonotnecessarilyariseeventhoughthereisawidespreaddesireforThepricedoesnotalwaysadjusttoclearamarket.MarketsdonotalwaysfunctionOnonedayinOctober1979,thefixingtook1hourand39minutes.Whysolong?Whydoeconomistssaythat“pricesaredeterminedatthemargin”?Howdoesthisaffectourbiddingbehaviorifweareconfidentthatourbuyingreservationpriceislikelytobemuchhigherthanthemarketprice(oroursellingreservationpriceislikelytobemuchlower)?Inasinglepriceauction,onlythemarginalordersdeterminetheprice.Pricesaremostreliablewhentradersputeffortintofiguringouttheirreservationprices.PeopleusemarketordersTheydon’twanttotakethetroubletofigureouttheirreservationprice.Theytrustthemarketclearinglimitorders:“Don’tbuy(sell)above(below)marketorder:“Buy[orsell]atthemarketprice,noHint:ValueinSecuritiesInsecuritymarkets,componentsofprivatevaluecanarisefromidiosyncratictaxsituations,investmenthorizons,controlrights.BUTsecuritiesmarketsaredominatedbycommonvalues.ThisisdueLikelihoodofFutureinvestment2-6.TheDesignofThepotentialfortradecanmakepeoplebetterAnewmarketexpandsthepossibilitiesofWe’llbefacinganincreaseddiversityofmarketmechanisms.Howshouldwe ythegame?Createorenhancevaluebybuildingamarket,whatsortofmarketshouldwebuild?Theperfectcompetitivemarketasaben forwhat’spossible.2-7.QuestionsaboutWhatisbeingWhowillIpotentiallyconsidertradingWhenandwherewillweWhatarethe“rulesofHowwillourtradesbeHowwillweresolvepost-tradeWhatwillwediscloseaboutourtradetoothertraders?2-8.AGoodPriceDiscoveryFairnessofLiquidity->timelyexecution,timely->transaction->InformationTD&III.Whydoweneedtounderstandmarketmicrostructure?Theportfoliomanager’sprocessis yticalandhypothetical;tradingisin-the-trenchesTradingisfundamentallydifferentfromportfoliomanagementinthatselectingstocksdoesnotrequirethecooperationofanyoneelse.Thetrader,however,needssomebodytotradewith,andthuswemovefromdeductiveexercisetoanegotiationprocess.Inanegotiation,onegivessomethinginordertogetsomething.Insecuritiestrading,onecantradeforeitherliquidityorforinformation.StructureStructureofMarkettypes MarketImmediacyandthecostsofBid-askTradingBasicOnebuyer,oneseller,onedeal：Oneseller,manybuyers,one Manybuyers,manysellers,onedeal：Batchclearingmechanism Manybuyers,manysellers,manydeals：ContinuoussecuritymarketsMarket3-13-2Continuous/Call3-3Auction3-4Broker/DealerMarket/Market3-1.BargainTwopeopleshareacake.Theymustagreeonhowtodivideitbeforetheycaneatit.Acoupleisdivorcing.Theymustagreeonhowthemaritalassetsandthechildrenwillbedivided.Asellerisasking$300,000forahouse.Aprospectivebuyerbids$250,000.“TakeitorleaveCostsofsuccessiveroundsofDecayinthevalueoftheCostsofconveyingcounter-CostsofentrybyotherBargaining:“Onebuyer;oneseller;oneAuction:“Oneseller;many(potential)buyers;onedeal.”3-2Continuousreflectnews易受limitorderbook、serialorder的 CallAccumulatedOrders,Predeterminedclock-Max.tradingvolume,OneclearingpriceSimilartoWa ianequilibrium委託熱絡、blocktrade3-3.AuctionEnglishauctions:Thegoldmarket:LondonGoldDutchSecuritiesMarket: SecuritiesMarketIPOsEnglishauctions:Firstpriceascendingwidelyusedforgoods(wine,art,eBay,widelyusedfortheinitialofferingofbonds ernmentandcorporatenotwidelyusedfortheinitialofferingsof*GoldSpottradingisconcentratedinGoldfuturescontractstradedontheGoldfuturesoptionstradedon*TheLondonGoldMorningandafternoonRepresentativesoffivebanksmeetatNMChairmancallsoutarepresentativeRepresentativesstatebuy/sellandhowRepeatuntiltotalAbatch yercastasabrokerwithcustomerordersspecifying:Buy(uptosomelimitSell(downsomelimitAuctioneercallsoutanindicativeBrokersindicatewhethertheywouldbuyorsellatthepriceAuctioneertriesdifferentpricesuntiltotalsupply=totaldemandWithabuyorder,bidMarketprice>customer’slimitWithasellorder,offerMarketprice<customer’slimitPayoffs(dealers(Customer’sbuylimitprice)–MarketMarketprice–(Customer’sselllimitCustomerordertobuy(1oz)withalimitpriceof281.60.Dealerwillbidaslongasindicativeprice≤281.60Ifthefinalclearingpriceis281.40,dealerpays281.40andreceives281.60(fromcustomer),yieldinga0.20profit.ClearingDealers’Buying2x(281.60–281.50)=Selling2x(281.50–281.30)+2x(281.5–281.4)=Totalprofits=NoothersinglepriceyieldshighertotalCanweincreasetradevolume?Inthisexercise,brokershavesimple*DutchauctionNYSE-SellingAuctions:Dutch&English(Internet,wine,flowerauctions)IPOShare*NYSE-Brokerssubmittheircustomermarketandlimitorders.Theauctioneer(specialist)findsapriceatwhichsupplyanddemandbalance.DifferencesbetweenNYSEopeningandtheLondongoldfixingThespecialistmaytakeapositiontobalancesupplyanddemand(“activemarketmaker”)SellingAuctions:English:AscendinginOpenoutcrybybiddersuntilonlyonebidderisExamples:Wine,art,mostinternetDutch:DescendinginpriceAuctioneerstartswithahighpriceandmethodicallydropsituntilsomeonesaysExamples:DutchflowerC-1.DutchSealedbid,firstBidderssubmitsealedbidsWinneristhehighestbidAmountpaidisthehighestbidSealedbid,secondBidderssubmitsealedbidsWinneristhehighestAmountpaidisthesecondhighestC-2.DutchIPOAnissuerhasonemillionsharesofanewissuetosell.Biddersnamepricesand“I’llbuy2,000sharesat$20;I’llbuyatotalof3,000sharesat$19.00.”Thesebidsarenotvisible.“Auctioneer”marksdownthepriceuntil tysoughtmatchesthe IsraelDiscriminatingDutchAuction(U.S.TreasurySecuritiesTWSEIPO)C-3Dutchshare wishestoself-tender(repurchasesomeofitsownshares).Onebuyer.Shareholdersnamepricesand tiesatwhichtheywilloffershares.“I’lloffer1,000sharesat$51;and2,000sharesat$52.”Thesebidsarenotvisible.Auctioneerraisespriceuntilallthetyofferedequalsthetydemanded.(Allsharesarepurchasedatthesameprice.)Batch(“Call”)Batchmarketsbringtogethermultiplebuyersandmultiplesellersatasinglepointintime.Requirespotentialbuyersandsellerstofocusonthetradingatasingletime.Batch(“Call”)Becauserelativelylargenumbersofbuyersandsellersareinvolved,pricesshouldbe“better”(lesssensitivetothewhimsofafewlargebuyersorsellers;lesspronetomanipulation)*Single-pricee.g.,LondongoldBuyandsellordersareCumulativesupplyanddemandcurvesThesearenotnecessarilyvisibletoAtintersection,allorderscrossedatasingleprice.*MatchingTheopenattheAustralianStockBuyandsellordersareBestindividualbuyandsellorderareTransactionoccursataverage(orwtdaverage)price.Next-bestbuyandsellordersareCallmarketprocedures:thesingle-priceclearingSellSellBuybalanceCallmarketprocedures:thematchingExamplesinequityUsedtoopen(andsometimesclose)marketsthatnormallyoperatecontinuouslySBF-ParisBoursefirstandsecondTokyoStockExch.,TorontoStockTWSEallButmayalsobeusedasstandaloneParisMarchéLibre,Germany：thinAZX(ArizonaStockTraditional ysisDemandcurve:Utilityfun. econstraintcustomer’sdemandcurve(reservationbuyingSupplycurve:Profitmax.subjectto →firm’ssupplyschedule(reservationsellingInaspeculativemarket,reservationpricesdependinacomplicatedwayonexpectationsandbeliefs.(Public)tradersconveyorderstothemarketthroughAbrokerisanagentforthecustomerandhasafiduciarydutytoseek“bestexecution”fortheorder.ThebrokerDeterminewheretheorderislikelytoreceive“bestForwardtheordertothatMonitorexecutionoftheFloorThespecialistandthecrowdcanseethesizeofingmarketorders.ThisallowsthemtobidoroffermoreaggressivelyonsmallAfloorbrokercanreviseanordermorequicklythananoff-floorsubmitterofalimitorder.AfloorbrokercanseethecontentsofthelimitorderAfloorbrokerwillbeawareofpotentialcounterpartiesfollowingstrategiessimilartohis/herLimitOrderTheinternal‘logic’ofthetradingprocessisgroundedinpit/floorin Theruleswereoriginallydesignedtoregulatetradinginacrowd.Acustomercansendanordertothebookelectronically.Whywouldsomeonesendanordertoabroker?Imbalancesofsupplyanddemandforstock➔priceofstockmightchangeabruptlywithoutinterventionExcessivevolatilitymeansbuyersmaypaypricethatexceedswhatispossibleifwait:costof“immediacy”Dealershelpstabilizemarketbyactingasabufferbetweenbuyandsellsidesoftrades: rsof“immediacy”serviceSomestructuresgivedealersprivilegedviewofmarkets,e.g.marketandlimitorders,butexpectationofproviding“fairandorderly*Dealers’ProfitsandDealerchargesabid-askspreadascompensationforprovidingimmediacy;selltodealer’sbid,buyfromdealer’saskFixedcosts:admin,operationsstaff,VariableCostsofbearinginventoryCostsofwaitingtounwindapositionanditsCostsoftradingagainstbetterCompetitionamongdealersensureslowestpossiblecoststoinvestorsDealers’Wesetthemarket100bidto1001/8offered:someonesellstousat100(marketsellorder)/someonebuysfromusat1001/8(marketbuyorder).Wemakethe1/8spread.WheredoesourcompetitioncomeOtherThelimitorderDealers’TheinformationintheThefirstlookat ing izationvs.costDealersmustgeneraterevenuesontradesataCustomerCustomers’Formostcustomers,tradingisdonenottogeneraterevenues,buttoestablish/liquidatealong-termposition.Theydon’tneedtogenerateatradingprofit,they’reonlytryingtobuyorsellatthelowestpossiblecost.Theycanbid/offermoreAcustomercanbid/offeronthebookknowingthatifmarket ebad/uncertain,hecanwithdraw.AdealerisusuallyrequiredtomaintainanongoingInstitutionalDisclose:Transparency&Execution:AutomatedSettlement:t+ndays,clearingsystem,funds、marginrequirementBlockBlocktrades–usually,10,000sharesormore,morethan3,000perdayonNYSE,drawsoncommissionbrokertocommitowncapitalordrawothersinforunfilledorderAn“upstairs”brokerhasnegotiatedatrade.Fidelitywi