|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910452323503321 |
|
|
Autore |
Hasbrouck Joel |
|
|
Titolo |
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Oxford ; ; New York, : Oxford University Press, 2007 |
|
|
|
|
|
|
|
ISBN |
|
9786612235283 |
0-19-804130-6 |
1-282-23528-1 |
1-280-90793-2 |
1-4294-6891-2 |
|
|
|
|
|
|
|
|
Edizione |
[2nd ed.] |
|
|
|
|
|
Descrizione fisica |
|
1 online resource (209 p.) |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Securities |
Securities - Prices |
Investments - Mathematical models |
Stock exchanges - Mathematical models |
Electronic books. |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Description based upon print version of record. |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references (p. 183-195) and index. |
|
|
|
|
|
|
Nota di contenuto |
|
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 -- |
|
|
|
|