03713nam 22007334a 450 991045232350332120200520144314.097866122352830-19-804130-61-282-23528-11-280-90793-21-4294-6891-2(CKB)1000000000473126(EBL)415271(OCoLC)476241387(SSID)ssj0000146229(PQKBManifestationID)11160372(PQKBTitleCode)TC0000146229(PQKBWorkID)10183156(PQKB)10245984(MiAaPQ)EBC415271(MiAaPQ)EBC5121565(PPN)156847558(Au-PeEL)EBL415271(CaPaEBR)ebr10271467(CaONFJC)MIL223528(Au-PeEL)EBL5121565(CaONFJC)MIL90793(OCoLC)1027169778(EXLCZ)99100000000047312620060203d2007 uy 0engur|n|---|||||txtccrEmpirical market microstructure[electronic resource] the institutions, economics and econometrics of securities trading /Joel Hasbrouck2nd ed.Oxford ;New York Oxford University Press20071 online resource (209 p.)Description based upon print version of record.0-19-530164-1 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.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. Dealers and Their Inventories. 12. Limit Order Markets. 13. Depth. 14. Trading Costs: Retrospective and Comparative. 15. Prospective Trading Costs and Execution StrategiesSecuritiesSecuritiesPricesInvestmentsMathematical modelsStock exchangesMathematical modelsElectronic books.Securities.SecuritiesPrices.InvestmentsMathematical models.Stock exchangesMathematical models.332.64Hasbrouck Joel614445MiAaPQMiAaPQMiAaPQBOOK9910452323503321Empirical market microstructure1130868UNINA