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Empirical market microstructure : the institutions, economics and econometrics of securities trading /
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....
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford ; New York :
Oxford University Press,
2007.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Descripción Física: | 1 online resource (ix, 198 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 183-195) and index. |
| ISBN: | 9780198041306 0198041306 9781429468916 1429468912 9786612235283 6612235284 1282235281 9781282235281 1280907932 9781280907937 |