02426nam a22003614a 4500 ebr10271467 CaPaEBR m u cr cn||||||||| 060203s2007 enka sb 001 0 eng 2006003935 0195301641 (cloth : alk. paper) 9780195301649 (cloth : alk. paper) CaPaEBR CaPaEBR (OCoLC)132682496 HG4521 .H353 2007eb 332.64 22 Hasbrouck, Joel. Empirical market microstructure [electronic resource] : the institutions, economics and econometrics of securities trading / Joel Hasbrouck. Oxford ; New York : Oxford University Press, 2007. ix, 198 p. : ill. Includes bibliographical references (p. 183-195) 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 -- 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. Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries. Securities. Securities Prices. Investments Mathematical models. Stock exchanges Mathematical models. Electronic books. local ebrary, Inc. http://site.ebrary.com/lib/rucke/Doc?id=10271467 An electronic book accessible through the World Wide Web; click to view 7339 7339