Empirical market microstructure the institutions, economics and econometrics of securities trading /
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| Main Author: | |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
2007.
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| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click to view |
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| 007 | cr cn||||||||| | ||
| 008 | 060203s2007 enka sb 001 0 eng | ||
| 010 | |z 2006003935 | ||
| 020 | |z 0195301641 (cloth : alk. paper) | ||
| 020 | |z 9780195301649 (cloth : alk. paper) | ||
| 035 | |a (CaPaEBR)ebr10271467 | ||
| 035 | |a (OCoLC)132682496 | ||
| 040 | |a CaPaEBR |c CaPaEBR | ||
| 050 | 1 | 4 | |a HG4521 |b .H353 2007eb |
| 082 | 0 | 4 | |a 332.64 |2 22 |
| 100 | 1 | |a Hasbrouck, Joel. | |
| 245 | 1 | 0 | |a Empirical market microstructure |h [electronic resource] : |b the institutions, economics and econometrics of securities trading / |c Joel Hasbrouck. |
| 260 | |a Oxford ; |a New York : |b Oxford University Press, |c 2007. | ||
| 300 | |a ix, 198 p. : |b ill. | ||
| 504 | |a Includes bibliographical references (p. 183-195) and index. | ||
| 505 | 0 | |a 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. | |
| 505 | 0 | |a 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. | |
| 533 | |a Electronic reproduction. |b Palo Alto, Calif. : |c ebrary, |d 2013. |n Available via World Wide Web. |n Access may be limited to ebrary affiliated libraries. | ||
| 650 | 0 | |a Securities. | |
| 650 | 0 | |a Securities |x Prices. | |
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 0 | |a Stock exchanges |x Mathematical models. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 710 | 2 | |a ebrary, Inc. | |
| 856 | 4 | 0 | |u http://site.ebrary.com/lib/daystar/Doc?id=10271467 |z An electronic book accessible through the World Wide Web; click to view |
| 908 | |a 170314 | ||
| 942 | 0 | 0 | |c EB |
| 999 | |c 94997 |d 94997 | ||