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010   $a9786612235283
010   $a0-19-804130-6
010   $a1-282-23528-1
010   $a1-280-90793-2
010   $a1-4294-6891-2
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035   $a(EBL)415271
035   $a(OCoLC)476241387
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035   $a(PQKBTitleCode)TC0000146229
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035   $a(MiAaPQ)EBC5121565
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100   $a20060203d2007      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aEmpirical market microstructure$b[electronic resource] $ethe institutions, economics and econometrics of securities trading /$fJoel Hasbrouck
205   $a2nd ed.
210   $aOxford ;$aNew York $cOxford University Press$d2007
215   $a1 online resource (209 p.)
300   $aDescription based upon print version of record.
311   $a0-19-530164-1 
320   $aIncludes bibliographical references (p. 183-195) and index.
327   $aIntroduction -- 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.
327   $aIntroduction -- 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.
330   $a1. 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 Strategies
606   $aSecurities
606   $aSecurities$xPrices
606   $aInvestments$xMathematical models
606   $aStock exchanges$xMathematical models
608   $aElectronic books.
615  0$aSecurities.
615  0$aSecurities$xPrices.
615  0$aInvestments$xMathematical models.
615  0$aStock exchanges$xMathematical models.
676   $a332.64
700   $aHasbrouck$b Joel$0614445
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910452323503321
996   $aEmpirical market microstructure$91130868
997   $aUNINA