Empirical Market Microstructure The Institutions, Economics, and Econometrics of Securities Trading
Edition: 2nd 2007
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Copyright year: 2007
Publisher: Oxford University Press, Incorporated
Publication date: 1/4/2007
Size: 6.50" wide x 9.75" long x 1.00" tall
|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|
|Trading Costs: Retrospective and Comparative|
|Prospective Trading Costs and Execution Strategies|