Empirical market microstructure : the institutions, economics and econometrics of securities trading - Hasbrouck, Joel. (Oxford ; New York : Oxford University Press, 2007)
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.
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Keywords: Securities; Securities -- Prices; Investments -- Mathematical models; Stock exchanges -- Mathematical models