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Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.

By: Hasbrouck, Joel.
Contributor(s): ebrary, Inc.
Material type: materialTypeLabelBookPublisher: Oxford ; New York : Oxford University Press, 2007Description: ix, 198 p. : ill.Subject(s): Securities | Securities -- Prices | Investments -- Mathematical models | Stock exchanges -- Mathematical modelsGenre/Form: Electronic books.DDC classification: 332.64 Online resources: An electronic book accessible through the World Wide Web; click to view
Contents:
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.
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Item type Current location Collection Call number URL Copy number Status Date due Item holds
E-book E-book IUKL Library
Subscripti http://site.ebrary.com/lib/kliuc/Doc?id=10271467 1 Available
Total holds: 0

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.

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