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Author Hasbrouck, Joel.

Title Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.

Imprint Oxford ; New York : Oxford University Press, 2007.

Copies

Location Call No. OPAC Message Status
 Axe ProQuest E-Book  Electronic Book    ---  Available
Description ix, 198 p. : ill.
Bibliography Includes bibliographical references (p. 183-195) and index.
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.
Introduction -- Trading mechanisms -- The roll model of trade prices -- Univariate time series analysis -- Sequential trade models -- Order flow and the probability of informed trading (PIN) -- Strategic trade models -- A generalized roll model of trade prices -- 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.
Reproduction Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Subject Securities.
Securities -- Prices.
Investments -- Mathematical models.
Stock exchanges -- Mathematical models.
Genre/Form Electronic books.
Added Author ProQuest (Firm)
ISBN 0195301641 (cloth : alk. paper)
9780195301649 (cloth : alk. paper)

 
    
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