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Autore: |
Hasbrouck Joel
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Titolo: |
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
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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 |