Empirical market microstructure
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TextPublication details: Oxford ; New York : Oxford University Press, 2007.Description: ix, 198 p. : ill. ; 25 cmISBN: - 9780195301641 (cloth : alk. paper)
- The institutions, economics and econometrics of securities trading
- 332.64HAS
- HG4521 .H353 2007
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| 332.64'57 GRE Counterparty credit risk : | 332.64'57 JOH The Guide to Using and Negotiating OTC Derivatives Documentation / | 332.64'57 MOD Modern financial techniques, derivatives, and law / | 332.64HAS Empirical market microstructure | 332.67'22 HAN The handbook of infrastructure investing / | 332.67'3 COR International investments in private equity : | 332.6'73 KOE Portfolio construction for today's markets : |
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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