02369cam a2200301 a 4500 1/43995 131101s2007 enka b 001 0 eng 0195301641 (cloth : alk. paper) 9780195301649 (cloth : alk. paper) 46927 DLC DLC BAKER BTCTA C#P YDXCP COO GR-PeUP 332.64 HAS Hasbrouck, Joel. Empirical market microstructure : the institutions, economics and econometrics of securities trading / Joel Hasbrouck. Oxford ; New York : Oxford University Press, 2007. ix, 198 σ. : εικ. ; 25 εκ. Περιέχει βιβλιογραφία και ευρετήριο. 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. Securities. Securities Prices. Investments Mathematical models. Stock exchanges Mathematical models. INST UNIPILB MAIN 20131101 332.64 HAS 00169758 00169758 LOAN 0 1 Table of contents only http://www.loc.gov/catdir/toc/ecip068/2006003935.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html /webopac/covers/03/46927_0195301641.jpg (cloth : alk. paper) /webopac/covers/03/46927_9780195301649.jpg (cloth : alk. paper)