Empirical market microstructure
Hasbrouck, Joel.
Empirical market microstructure The institutions, economics and econometrics of securities trading - Oxford ; New York : Oxford University Press, 2007. - ix, 198 p. : ill. ; 25 cm.
Includes bibliographical references (p. 183-195) and index.
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.
This book is a study of the trading mechanisms in financial markets: the institutions, the economic principles underlying the institutions, and stastical models for analysing the data they generate.
9780195301641 (cloth : alk. paper)
2006003935
Securities.
Securities--Prices.
Investments--Mathematical models.
Stock exchanges--Mathematical models.
HG4521 / .H353 2007
332.64HAS
Empirical market microstructure The institutions, economics and econometrics of securities trading - Oxford ; New York : Oxford University Press, 2007. - ix, 198 p. : ill. ; 25 cm.
Includes bibliographical references (p. 183-195) and index.
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.
This book is a study of the trading mechanisms in financial markets: the institutions, the economic principles underlying the institutions, and stastical models for analysing the data they generate.
9780195301641 (cloth : alk. paper)
2006003935
Securities.
Securities--Prices.
Investments--Mathematical models.
Stock exchanges--Mathematical models.
HG4521 / .H353 2007
332.64HAS