Pieces on Asset Pricing and Microstructure

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The collection delves into asset pricing and financial market microstructure, focusing on the continuous double auction (CDA) utilized by major stock exchanges. Employing agent-based modeling with zero intelligence agents, it explores market efficiency, equilibrium convergence, and liquidity effects. One essay analyzes price formation in CDA markets with a passive market maker, while another investigates equity returns autocorrelation, revealing anomalous behaviors linked to market liquidity. A liquidity-based trading strategy is proposed, highlighting the potential for profit through opportunistic trading.