Empirical market microstructure : the institutions, economics and econometrics of securities trading /
Κύριος συγγραφέας: | Hasbrouck, Joel. |
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Μορφή: | Βιβλίο |
Γλώσσα: | English |
Στοιχεία έκδοσης: |
Oxford ; New York :
Oxford University Press,
2007.
|
Ταξινομικός αριθμός: |
332.64 HAS |
Θέματα: | |
Διαθέσιμο Online: |
http://www.loc.gov/catdir/toc/ecip068/2006003935.html http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html |
Ετικέτες: |
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Πίνακας περιεχομένων:
- 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.