The econometrics of sequential trade models : theory and applications using high frequency data

This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that substantially advances earlier work in the field. The results that are necessary for understanding the introduced empirical framework are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics. TOC:Introduction.- Trading Mechanisms on Financial Markets: Typology of Security Markets; Market Participants and Institutional Setup on the NYSE.- Sequential Trade Models: Market MicrostructureTheory.- Microstructure Models of the Black Box.- The Basic Sequential Trade Model.- Extensions.- Estimation of Structural Models.- Results of Previous Studies.- Econometric Analysis: The EKOP Model and Finite Mixture Models.- Model Evaluation and Specification Testing.- Mixture and Regime Switching Models in Econometrics.- Empirical Results: The TAQ Database.- The Trade Direction.- DescriptiveStatistics.- Estimation Results.- Conclusions.- Appendix.- References.- List of Figures.- List of Tables