Empirical market microstructure : the institutions, economics and econometrics of securities trading
Joel Hasbrouck
| Year of publication: |
2007
|
|---|---|
| Authors: | Hasbrouck, Joel |
| Publisher: |
Oxford [u.a.] : Oxford Univ. Press |
| Subject: | Marktmikrostruktur | Market microstructure | Wertpapier | Securities | ARMA-Modell | ARMA model | Dekompositionsverfahren | Decomposition method | Theorie | Theory | Finanzmathematik | Wertpapierhandel | Ökonometrie | Mikrostrukturtheorie <Kapitalmarkttheorie> |
| Description of contents: | Table of Contents [swbplus.bsz-bw.de] ; Description [loc.gov] |
| Extent: | IX, 198 S graph. Darst. |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes bibliographical references and index 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 0612 |
| ISBN: | 0-19-530164-1 ; 978-0-19-530164-9 |
| Classification: | Investition, Finanzierung ; Methoden und Techniken der Volkswirtschaft |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003274162