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

ix, 198 p. S.

25 cm

Includes bibliographical references (p. 183-195) and index

Content; 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; Appendix: U.S. Equity Markets; Notes; References; 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

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

Electronic reproduction Available via World Wide Web

ECONIS - Online Catalogue of the ZBW