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

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

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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Bibliographic Details
Main Author: Hasbrouck, Joel
Format: eBook
Language:English
Published: Oxford ; New York : Oxford University Press, 2007.
Subjects:
Securities.
Securities > Prices.
Investments > Mathematical models.
Stock exchanges > Mathematical models.
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)
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