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

Saved in:
書目詳細資料
主要作者: Hasbrouck, Joel
企業作者: ebrary, Inc
格式: 電子 電子書
語言:英语
出版: Oxford ; New York : Oxford University Press, 2007.
主題:
在線閱讀:An electronic book accessible through the World Wide Web; click to view
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
書本目錄:
  • 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.