Hasbrouck, Joel.
Empirical market microstructure the institutions, economics and econometrics of securities trading / [electronic resource] : Joel Hasbrouck. - Oxford ; New York : Oxford University Press, 2007. - ix, 198 p. : ill.
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 -- 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.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
Securities.
Securities--Prices.
Investments--Mathematical models.
Stock exchanges--Mathematical models.
Electronic books.
HG4521 / .H353 2007eb
332.64
Empirical market microstructure the institutions, economics and econometrics of securities trading / [electronic resource] : Joel Hasbrouck. - Oxford ; New York : Oxford University Press, 2007. - ix, 198 p. : ill.
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 -- 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.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
Securities.
Securities--Prices.
Investments--Mathematical models.
Stock exchanges--Mathematical models.
Electronic books.
HG4521 / .H353 2007eb
332.64