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

Author: Hasbrouck, Joel Publisher: Oxford University Press (OUP) 2007.Language: EnglishDescription: 198 p. ; 24 cm.ISBN: 0195301641Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG4521 .H37 2007
(Browse shelf)
Available 32419001211246
Total holds: 0

Includes bibliographical references and index


Empirical Market Microstructure The Institutions, Economics, and Econometrics of Securities Trading Contents 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. 12. 13. 14. 15. Dealers and Their Inventories Limit Order Markets Depth Trading Costs: Retrospective and Comparative Prospective Trading Costs and Execution Strategies 3 9 23 31 42 56 61 67 78 94 106 118 131 143 153 166 179 183 196 Appendix: U.S. Equity Markets Notes References Index

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