Empirical market microstructure : the institutions, economics and econometrics of securities trading /

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

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ProQuest (Firm)
Hasbrouck, Joel.
TeilnehmendeR:
ProQuest (Firm)
Year of Publication:2007
Language:English
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Physical Description:ix, 198 p. :; ill.
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ctrlnum (MiAaPQ)500415271
(Au-PeEL)EBL415271
(CaPaEBR)ebr10271467
(CaONFJC)MIL223528
(OCoLC)476241387
collection bib_alma
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spelling Hasbrouck, Joel.
Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / 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. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Securities.
Securities Prices.
Investments Mathematical models.
Stock exchanges Mathematical models.
Electronic books.
ProQuest (Firm)
https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=415271 Click to View
language English
format Electronic
eBook
author Hasbrouck, Joel.
spellingShingle Hasbrouck, Joel.
Empirical market microstructure the institutions, economics and econometrics of securities trading /
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.
author_facet Hasbrouck, Joel.
ProQuest (Firm)
ProQuest (Firm)
author_variant j h jh
author2 ProQuest (Firm)
author2_role TeilnehmendeR
author_corporate ProQuest (Firm)
author_sort Hasbrouck, Joel.
title Empirical market microstructure the institutions, economics and econometrics of securities trading /
title_sub the institutions, economics and econometrics of securities trading /
title_full Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.
title_fullStr Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.
title_full_unstemmed Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.
title_auth Empirical market microstructure the institutions, economics and econometrics of securities trading /
title_new Empirical market microstructure
title_sort empirical market microstructure the institutions, economics and econometrics of securities trading /
publisher Oxford University Press,
publishDate 2007
physical ix, 198 p. : ill.
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.
callnumber-first H - Social Science
callnumber-subject HG - Finance
callnumber-label HG4521
callnumber-sort HG 44521 H353 42007
genre Electronic books.
genre_facet Electronic books.
url https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=415271
illustrated Illustrated
dewey-hundreds 300 - Social sciences
dewey-tens 330 - Economics
dewey-ones 332 - Financial economics
dewey-full 332.64
dewey-sort 3332.64
dewey-raw 332.64
dewey-search 332.64
oclc_num 476241387
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is_hierarchy_title Empirical market microstructure the institutions, economics and econometrics of securities trading /
author2_original_writing_str_mv noLinkedField
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