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

By:

Hasbrouck, Joel

Publication details: Oxford ; New York : Oxford University Press, 2007.Description: ix, 198 p. : ill. ; 25 cmISBN:

0195301641 (cloth : alk. paper)
9780195301649 (cloth : alk. paper)

Subject(s):

DDC classification:

332.64 22

LOC classification:

HG4521.H353 2007

Online resources:

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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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
BOOK	General Collection Open Shelf	HG4521.H353 2007	Available		42169
BOOK	General Collection Open Shelf	HG4521.H353 2007	Available		42168