Empirical market microstructure the institutions, economics and econometrics of securities trading / Joel Hasbrouck.
By: Hasbrouck, Joel.
Contributor(s): ebrary, Inc.
New York : Oxford University Press, 2007Description: ix, 198 p. : ill.ISBN: 9780195301649 (cloth : alk. paper).Subject(s): Investments -- Mathematical models | Securities -- Prices | Securities | Stock exchanges -- Mathematical modelsGenre/Form: Print books.| Current location | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|
| On Shelf | HG4521 .H353 2007 (Browse shelf) | Available | AU0000000009790 |
Includes bibliographical references (p. 183-195) and index.
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.
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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.