Empirical market microstructure The Institutions Economics and Econometrics of Securities Trading 1st Edition by Joel Hasbrouck ISBN 0195301641 978-0195301649
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Product details:
ISBN 10: 0195301641
ISBN 13: 978-0195301649
Author: Joel Hasbrouck
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Table of contents:
Chapter 1 Introduction
Chapter 2 Trading Mechanisms
Chapter 3 The Roll Model of Trade Prices
Chapter 4 Univariate Time Series Analysis
Chapter 5 Sequential Trade Models
Chapter 6 Order Flow and the Probability of Informed Trading
Chapter 7 Strategic Trade Models
Chapter 8 A Generalized Roll Model
Chapter 9 Multivariate Linear Microstructure Models
Chapter 10 Multiple Securities and Multiple Prices
Chapter 11 Dealers and Their Inventories
Chapter 12 Limit Order Markets
Chapter 13 Depth
Chapter 14 Retrospective and Comparative
Chapter 15 Prospective Trading Costs and Execution Strategies
Chapter 16 US Equity Markets
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Tags: Joel Hasbrouck, Empirical, Market Microstructure, Institutions, Economics, Econometrics, Securities Trading