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Liquidity, Competition & Price Discovery in the European Corporate Bond Market
Biais, Bruno / Declerck, Fany
fixed income / liquidityResource overview

Liquidity, Competition & Price Discovery in the European Corporate Bond Market

Paper2007

by Biais, Bruno, Declerck, Fany

Tags
fixed incomeliquiditymarket microstructuretransaction costs

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Suggested foundations for market microstructure and execution and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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