000 02426nam a22003614a 4500
001 ebr10271467
003 CaPaEBR
006 m u
007 cr cn|||||||||
008 060203s2007 enka sb 001 0 eng
010 _z 2006003935
020 _z0195301641 (cloth : alk. paper)
020 _z9780195301649 (cloth : alk. paper)
040 _aCaPaEBR
_cCaPaEBR
035 _a(OCoLC)132682496
050 1 4 _aHG4521
_b.H353 2007eb
082 0 4 _a332.64
_222
100 1 _aHasbrouck, Joel.
245 1 0 _aEmpirical market microstructure
_h[electronic resource] :
_bthe institutions, economics and econometrics of securities trading /
_cJoel Hasbrouck.
260 _aOxford ;
_aNew York :
_bOxford University Press,
_c2007.
300 _aix, 198 p. :
_bill.
504 _aIncludes bibliographical references (p. 183-195) and index.
505 0 _aIntroduction -- 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.
505 0 _aIntroduction -- 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.
533 _aElectronic reproduction.
_bPalo Alto, Calif. :
_cebrary,
_d2013.
_nAvailable via World Wide Web.
_nAccess may be limited to ebrary affiliated libraries.
650 0 _aSecurities.
650 0 _aSecurities
_xPrices.
650 0 _aInvestments
_xMathematical models.
650 0 _aStock exchanges
_xMathematical models.
655 7 _aElectronic books.
_2local
710 2 _aebrary, Inc.
856 4 0 _uhttp://site.ebrary.com/lib/rucke/Doc?id=10271467
_zAn electronic book accessible through the World Wide Web; click to view
999 _c7339
_d7339