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Empirical Market Microstructure The Institutions, Economics, and Econometrics of Securities Trading

ISBN-10: 0195301641

ISBN-13: 9780195301649

Edition: 2nd 2007

Authors: Joel Hasbrouck

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Book details

Edition: 2nd
Copyright year: 2007
Publisher: Oxford University Press, Incorporated
Publication date: 1/4/2007
Binding: Hardcover
Pages: 208
Size: 6.50" wide x 9.75" long x 1.00" tall
Weight: 1.232
Language: English

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