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

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Bibliographic Details
Main Author: Hasbrouck, Joel
Corporate Author: ebrary, Inc
Format: Electronic eBook
Language:English
Published: Oxford ; New York : Oxford University Press, 2007.
Subjects:
Securities.
Securities > Prices.
Investments > Mathematical models.
Stock exchanges > Mathematical models.
Electronic books.
Online Access:An electronic book accessible through the World Wide Web; click to view
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Table of 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.

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