Empirical market microstructure : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck.
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| Year of Publication: | 2007 |
| Language: | English |
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| Physical Description: | ix, 198 p. :; ill. |
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Table of 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.