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

Author: Joel Hasbrouck
Publisher: Oxford ; New York : Oxford University Press, 2007.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
1. Introduction. 2. Trading Mechanisms. 3. The Roll Model of Trade Prices. 4. Univariate Time-Series Analysis. 5. Sequential Trade Models. 6. Order Flow And The Probability of Informed Trading. 7. Strategic Trade Models. 8. A Generalized Roll Model. 9. Multivariate Linear Microstructure Models. 10. Multiple Securities and Multiple Prices. 11. Dealers and Their Inventories. 12. Limit Order Markets. 13. Depth. 14.  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Hasbrouck, Joel.
Empirical market microstructure.
Oxford ; New York : Oxford University Press, 2007
(DLC) 2006003935
(OCoLC)63472962
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Joel Hasbrouck
ISBN: 9780198041306 0198041306 9781429468916 1429468912
OCLC Number: 132682496
Description: 1 online resource (ix, 198 pages) : illustrations
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.
Responsibility: Joel Hasbrouck.

Abstract:

The book discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.  Read more...

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Joel Hasbrouck provides the first integrated introduction to the most important models of empirical market microstructure. The development is logical and easy to follow. Students and practioners will Read more...

 
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