Empirical market microstructure : the institutions, economics and econometrics of securities trading /
| Κύριος συγγραφέας: | Hasbrouck, Joel. |
|---|---|
| Μορφή: | Βιβλίο |
| Γλώσσα: | English |
| Στοιχεία έκδοσης: |
Oxford ; New York :
Oxford University Press,
2007.
|
| Ταξινομικός αριθμός: |
332.64 HAS |
| Θέματα: | |
| Διαθέσιμο Online: |
http://www.loc.gov/catdir/toc/ecip068/2006003935.html http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html |
| Ετικέτες: |
Προσθήκη ετικέτας
Δεν υπάρχουν, Καταχωρήστε ετικέτα πρώτοι!
|
Πίνακας περιεχομένων:
- 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.