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The Resource Empirical market microstructure : the institutions, economics and econometrics of securities trading, Joel Hasbrouck, (electronic resource)

Empirical market microstructure : the institutions, economics and econometrics of securities trading, Joel Hasbrouck, (electronic resource)

Label
Empirical market microstructure : the institutions, economics and econometrics of securities trading
Title
Empirical market microstructure
Title remainder
the institutions, economics and econometrics of securities trading
Statement of responsibility
Joel Hasbrouck
Creator
Contributor
Subject
Language
eng
Cataloging source
MiAaPQ
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Empirical market microstructure : the institutions, economics and econometrics of securities trading, Joel Hasbrouck, (electronic resource)
Label
Empirical market microstructure : the institutions, economics and econometrics of securities trading, Joel Hasbrouck, (electronic resource)
Link
http://libproxy.rpi.edu/login?url=https://ebookcentral.proquest.com/lib/connectny/detail.action?docID=415271
Publication
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Bibliography note
Includes bibliographical references (p. 183-195) and index
Color
multicolored
Contents
  • 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
Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4010480'}
Extent
ix, 198 p.
Form of item
  • online
  • electronic
Other physical details
ill.
Reproduction note
Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Specific material designation
remote

Library Locations

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      42.729766 -73.682577
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