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Empirical market microstructure : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.
Table of contents only Available online
View onlineLippincott Library HG4521 .H353 2007
Available
- Format:
- Book
- Author/Creator:
- Hasbrouck, Joel.
- Language:
- English
- Subjects (All):
- Securities.
- Securities--Prices.
- Investments--Mathematical models.
- Investments.
- Stock exchanges--Mathematical models.
- Stock exchanges.
- Physical Description:
- ix, 198 pages : illustrations ; 25 cm
- Place of Publication:
- Oxford ; New York : Oxford University Press, 2007.
- Contents:
- Introduction
- Trading mechanisms
- The roll model of trade prices
- Univariate time-series analysis
- Sequential trade models
- Order flow and the probability of informed trading
- Strategic trade models
- A generalized roll model
- Multivariate linear microstructure models
- Multiple securities and multiple prices
- Dealers and their inventories
- Limit order markets
- Depth
- Trading costs : retrospective and comparative
- Prospective trading costs and execution strategies.
- Univariate time series analysis
- Order flow and the probability of informed trading (PIN)
- A generalized roll model of trade prices
- Notes:
- Includes bibliographical references (pages 183-195) and index.
- ISBN:
- 0195301641
- OCLC:
- 63472962
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