Empirical market microstructure : the institutions, economics, and econometrics of securities trading / Joel Hasbrouck.

Format:

Book

Author/Creator:

Hasbrouck, Joel, author.

Series:

Oxford scholarship online.

Oxford scholarship online

Language:

English

Subjects (All):

Securities.

Securities--Prices.

Investments--Mathematical models.

Investments.

Stock exchanges--Mathematical models.

Stock exchanges.

Physical Description:

1 online resource (209 p.)

Edition:

2nd ed.

Place of Publication:

New York ; Oxford University Press, 2023.

Language Note:

English

Summary:

The book discusses the mechanisms by which securities are traded, as well as examining economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.

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:

Previously issued in print: 2007.

Includes bibliographical references (pages 183-195) and index.

Derived record based on print version record and publisher information.

Description based on publisher supplied metadata and other sources.

ISBN:

0-19-771012-3

0-19-988532-X

9786612235283

0-19-804130-6

1-282-23528-1

1-280-90793-2

1-4294-6891-2

OCLC:

476241387