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Author Hasbrouck
Title Empirical Market Microstructure : The Institutions, Economics, and Econometrics of Securities Trading
Imprint Cary : Oxford University Press USA - OSO, 2007
©2007
book jacket
Descript 1 online resource (209 pages)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
Note Intro -- Content -- 1. Introduction -- 2. Trading Mechanisms -- 3. The Roll Model of Trade Prices -- 4. Univariate Time-Series Analysis -- 5. Sequential Trade Models -- 6. Order Flow and the Probability of Informed Trading -- 7. Strategic Trade Models -- 8. A Generalized Roll Model -- 9. Multivariate Linear Microstructure Models -- 10. Multiple Securities and Multiple Prices -- 11. Dealers and Their Inventories -- 12. Limit Order Markets -- 13. Depth -- 14. Trading Costs: Retrospective and Comparative -- 15. Prospective Trading Costs and Execution Strategies -- Appendix: U.S. Equity Markets -- Notes -- References -- Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- V -- W
1. Introduction2. Trading Mechanisms3. The Roll Model of Trade Prices4. Univariate Time-Series Analysis5. Sequential Trade Models6. Order Flow And The Probability of Informed Trading7. Strategic Trade Models8. A Generalized Roll Model9. Multivariate Linear Microstructure Models10. Multiple Securities and Multiple Prices11. Dealers and Their Inventories12. Limit Order Markets13. Depth14. Trading Costs: Retrospective and Comparative15. Prospective Trading Costs and Execution Strategies
Description based on publisher supplied metadata and other sources
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
Link Print version: Hasbrouck Empirical Market Microstructure : The Institutions, Economics, and Econometrics of Securities Trading Cary : Oxford University Press USA - OSO,c2007 9780195301649
Subject Securities.;Securities -- Prices.;Investments -- Mathematical models.;Stock exchanges -- Mathematical models
Electronic books
Alt Author Hasbrouck, Joel
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