Hasbrouck, Joel. <br/><br/>
Empirical market microstructure :  the institutions, economics and econometrics of securities trading / 
Joel Hasbrouck. 
 - Oxford ;  New York :  Oxford University Press,  2007. 
 - ix, 198 p. :  ill ;  25 cm. 
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<br/><br/>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. 
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<br/><br/><label>ISBN: </label>0195301641 (cloth : alk. paper) 9780195301649 (cloth : alk. paper) 
<br/><br/><label>LCCN: </label>2006003935 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Securities.<br/>Securities--Prices.<br/>Investments--Mathematical models.<br/>Stock exchanges--Mathematical models.
<br/><br/><label>Dewey Class. No.: </label>332.64