Empirical market microstructure the institutions, economics and econometrics of securities trading /

保存先:
書誌詳細
第一著者: Hasbrouck, Joel
団体著者: ebrary, Inc
フォーマット: 電子媒体 eBook
言語:英語
出版事項: Oxford ; New York : Oxford University Press, 2007.
主題:
オンライン・アクセス:An electronic book accessible through the World Wide Web; click to view
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目次:
  • 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.