Empirical market microstructure : the institutions, economics and econometrics of securities trading /

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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....

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Hasbrouck, Joel
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; New York : Oxford University Press, 2007.
Temas:
Securities.
Securities > Prices.
Investments > Mathematical models.
Stock exchanges > Mathematical models.
Valeurs mobilières > Prix.
Investissements > Modèles mathématiques.
Bourse > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Investments > Mathematical models
Securities
Securities > Prices
Stock exchanges > Mathematical models
Kreditmarkt
Preisbildung
Liquidität
Mathematisches Modell
Finanzmathematik
Mikrostrukturtheorie > Kapitalmarkttheorie
Wertpapierhandel
Ökonometrie
Effectenhandel.
Wiskundige modellen.
Wertpapier > Investition > Mikrostruktur > Analyse > Ökonometrisches Modell.
Finanças (métodos matemáticos)
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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