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 |
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HG4521 .G665 2003 The intelligent investor / | HG4521 .G67 2017 Institutional investors in global markets / | HG4521 .H2263 2013 Investing : the last liberal art / | HG4521 .H353 2007 Empirical market microstructure the institutions, economics and econometrics of securities trading / | HG4521 .I4229 2015 Investment risk management / | HG4521 .K745 2017 Investing demystified : how to create the best investment portfolio whatever your risk level / | HG4521 .L864 2000 One up on Wall Street : how to use what you already know to make money in the market / |
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.