TY  - BOOK
AU  - Hasbrouck,Joel
ED  - ebrary, Inc.
TI  - Empirical market microstructure: the institutions, economics and econometrics of securities trading 
AV  - HG4521 .H353 2007eb
U1  - 332.64 22
PY  - 2007///
CY  - Oxford, New York
PB  - Oxford University Press
KW  - Securities
KW  - Prices
KW  - Investments
KW  - Mathematical models
KW  - Stock exchanges
KW  - Electronic books
KW  - local
N1  - 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
UR  - http://site.ebrary.com/lib/rucke/Doc?id=10271467
ER  -