Empirical market microstructure : the institutions, economics and econometrics of securities trading /
By: Hasbrouck, Joel
Material type:
BookPublisher: Oxford ; New York : Oxford University Press, 2007.Description: ix, 198 p. : ill ; 25 cm.ISBN: 0195301641 (cloth : alk. paper); 9780195301649 (cloth : alk. paper)Program: HDR974Subject(s): Securities | Securities -- Prices | Investments -- Mathematical models | Stock exchanges -- Mathematical modelsDDC classification: 332.64 Online resources: Location Map
| Item type | Home library | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|
| REGULAR | University of Wollongong in Dubai Main Collection | 332.64 HA EM (Browse shelf) | Available | T0040202 |
Includes bibliographical references (p. 183-195) and index.
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.
HDR974