Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
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| Autore: |
Hasbrouck Joel
|
| Titolo: |
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
|
| Pubblicazione: | Oxford ; ; New York, : Oxford University Press, 2007 |
| Edizione: | 2nd ed. |
| Descrizione fisica: | 1 online resource (209 p.) |
| Disciplina: | 332.64 |
| Soggetto topico: | Securities |
| Securities - Prices | |
| Investments - Mathematical models | |
| Stock exchanges - Mathematical models | |
| 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 -- Trading costs : retrospective and comparative -- Prospective trading costs and execution strategies. | |
| Sommario/riassunto: | 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 Strategies |
| Titolo autorizzato: | Empirical market microstructure |
| ISBN: | 0-19-771012-3 |
| 0-19-988532-X | |
| 9786612235283 | |
| 0-19-804130-6 | |
| 1-282-23528-1 | |
| 1-280-90793-2 | |
| 1-4294-6891-2 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910777765003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |