| LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2006003935 |
| INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
0195301641 (cloth : alk. paper) |
| INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780195301649 (cloth : alk. paper) |
| DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Call number |
332.64 |
| MAIN ENTRY--PERSONAL NAME |
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| Authors |
Hasbrouck, Joel. |
| TITLE STATEMENT |
|---|
| Title |
Empirical market microstructure : |
| Subtitle |
the institutions, economics and econometrics of securities trading / |
| Statement of responsibility, etc |
Joel Hasbrouck. |
| PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication |
Oxford ; |
| -- |
New York : |
| Publisher |
Oxford University Press, |
| Date |
2007. |
| PHYSICAL DESCRIPTION |
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| Extent |
ix, 198 p. : |
| Other Details |
ill ; |
| Size |
25 cm. |
| CONTENTS |
|---|
| 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. |
| CONTENTS |
|---|
| 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 (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. |
| STUDY PROGRAM |
|---|
| Program name |
HDR974 |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Securities. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Heading |
Securities |
| General |
Prices. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Investments |
| General |
Mathematical models. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Stock exchanges |
| General |
Mathematical models. |
| ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://uowd.box.com/s/erf8ef475rmvuebm5wn6m7gtbp6wws1g |
| Public note |
Location Map |
| MAIN ENTRY--PERSONAL NAME |
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| -- |
49146 |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| -- |
7146 |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| -- |
48138 |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| -- |
46887 |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| -- |
49147 |