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Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
| Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck |
| Autore | Hasbrouck Joel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2007 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.64 |
| Soggetto topico |
Securities
Securities - Prices Investments - Mathematical models Stock exchanges - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
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 | eng |
| 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. |
| Record Nr. | UNINA-9910452323503321 |
Hasbrouck Joel
|
||
| Oxford ; ; New York, : Oxford University Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
| Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck |
| Autore | Hasbrouck Joel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2007 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.64 |
| Soggetto topico |
Securities
Securities - Prices Investments - Mathematical models Stock exchanges - Mathematical models |
| 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 | eng |
| 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. |
| Record Nr. | UNINA-9910777765003321 |
|
Hasbrouck Joel
|
||
| Oxford ; ; New York, : Oxford University Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
| Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck |
| Autore | Hasbrouck Joel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2007 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.64 |
| Soggetto topico |
Securities
Securities - Prices Investments - Mathematical models Stock exchanges - Mathematical models |
| 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 | eng |
| 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. |
| Record Nr. | UNINA-9910828496803321 |
|
Hasbrouck Joel
|
||
| Oxford ; ; New York, : Oxford University Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||