TY  - BOOK
AU  - Hasbrouck,Joel
TI  - Empirical market microstructure
SN  - 9780195301641 (cloth : alk. paper)
AV  - HG4521 .H353 2007
U1  - 332.64HAS 
PY  - 2007///
CY  - Oxford, New York
PB  - Oxford University Press
KW  - Securities
KW  - Prices
KW  - Investments
KW  - Mathematical models
KW  - Stock exchanges
N1  - 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
N2  - 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
UR  - http://www.loc.gov/catdir/toc/ecip068/2006003935.html
UR  - http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html
ER  -