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Empirical market microstructure :the...

Hasbrouck, Joel.

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

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Empirical market microstructure :Joel Hasbrouck.
其他題名:	the institutions, economics and econometrics of securities trading /
作者:	Hasbrouck, Joel.
出版者:	Oxford ;Oxford University Press,2007.
面頁冊數:	ix, 197 p. :ill. ;25 cm.
標題:	Securities.
電子資源:	Table of contents only
電子資源:	http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html
ISBN:	0195301641 (cloth : alk. paper)

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

Empirical market microstructure :the institutions, economics and econometrics of securities trading /Joel Hasbrouck. - Oxford ;Oxford University Press,2007. - ix, 197 p. :ill. ;25 cm.

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.

ISBN: 0195301641 (cloth : alk. paper)

LCCN: 2006003935Subjects--Topical Terms:

210042
Securities.

LC Class. No.: HG4521 / .H353 2007

Dewey Class. No.: 332.64

Empirical market microstructure :the institutions, economics and econometrics of securities trading /
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020 $a 0195301641 (cloth : alk. paper)
020 $a 9780195301649 (cloth : alk. paper)
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245 1 0 $a Empirical market microstructure : $b the institutions, economics and econometrics of securities trading / $c Joel Hasbrouck.
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300 $a ix, 197 p. : $b ill. ; $c 25 cm.
504 $a Includes bibliographical references (p. 183-195) and index.
505 0 $a 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.
505 0 $a 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.
650 0 $a Securities. $3 210042
650 0 $a Securities $x Prices. $3 211955
650 0 $a Investments $x Mathematical models. $3 221368
650 0 $a Stock exchanges $x Mathematical models. $3 294428
856 4 1 $z Table of contents only $u http://www.loc.gov/catdir/toc/ecip068/2006003935.html
856 4 2 $z Contributor biographical information $u http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html