Central Bank of Nigeria Library

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Empirical market microstructure Joel Hasbrouck

By: Material type: TextTextPublication details: Oxford ; New York : Oxford University Press, 2007.Description: ix, 198 p. : ill. ; 25 cmISBN:
  • 9780195301641 (cloth : alk. paper)
Other title:
  • The institutions, economics and econometrics of securities trading
Subject(s): DDC classification:
  • 332.64  22
LOC classification:
  • HG4521 .H353 2007
Online resources:
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.
Summary: 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.
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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.

osa15/05/13

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