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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 |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford ; New York :
Oxford University Press,
2007.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Hasbrouck, Joel. | |
| 245 | 1 | 0 | |a Empirical market microstructure : |b the institutions, economics and econometrics of securities trading / |c Joel Hasbrouck. |
| 260 | |a Oxford ; |a New York : |b Oxford University Press, |c 2007. | ||
| 300 | |a 1 online resource (ix, 198 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 347 | |a text file |2 rdaft |0 http://rdaregistry.info/termList/fileType/1002 | ||
| 504 | |a Includes bibliographical references (pages 183-195) and index. | ||
| 505 | 0 | |a 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. | |
| 505 | 0 | |a 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. | |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Securities. | |
| 650 | 0 | |a Securities |x Prices. | |
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 0 | |a Stock exchanges |x Mathematical models. | |
| 650 | 6 | |a Valeurs mobilières |x Prix. | |
| 650 | 6 | |a Investissements |x Modèles mathématiques. | |
| 650 | 6 | |a Bourse |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Investments |x Mathematical models |2 fast | |
| 650 | 7 | |a Securities |2 fast | |
| 650 | 7 | |a Securities |x Prices |2 fast | |
| 650 | 7 | |a Stock exchanges |x Mathematical models |2 fast | |
| 650 | 7 | |a Kreditmarkt |2 gnd | |
| 650 | 7 | |a Preisbildung |2 gnd | |
| 650 | 7 | |a Liquidität |2 gnd | |
| 650 | 7 | |a Mathematisches Modell |2 gnd | |
| 650 | 7 | |a Finanzmathematik |2 gnd | |
| 650 | 7 | |a Mikrostrukturtheorie |g Kapitalmarkttheorie |2 gnd | |
| 650 | 7 | |a Wertpapierhandel |2 gnd | |
| 650 | 7 | |a Ökonometrie |2 gnd | |
| 650 | 1 | 7 | |a Effectenhandel. |2 gtt |
| 650 | 1 | 7 | |a Wiskundige modellen. |2 gtt |
| 650 | 7 | |a Wertpapier |x Investition |x Mikrostruktur |x Analyse |x Ökonometrisches Modell. |2 idszbz | |
| 650 | 7 | |a Finanças (métodos matemáticos) |2 larpcal | |
| 758 | |i has work: |a Empirical market microstructure (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGY3X7bQQD6tm79JtpHdXq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Hasbrouck, Joel. |t Empirical market microstructure. |d Oxford ; New York : Oxford University Press, 2007 |z 0195301641 |z 9780195301649 |w (DLC) 2006003935 |w (OCoLC)63472962 |
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