008
070613t2007 nyu 00 eng
039
9
/a200706131144/bwardah/y200706131025/zwardah/y20200605133956/z0153
090
/aHG4521.H353 2007 HAS
245
/aEmpirical market microstructure :/bthe institutions, economics and econometrics of securities trading //cJoel Hasbrouck
260
/aOxford ;/aNew York :/bOxford University Press,/c2007.
300
/aix, 198 p. :/bill. ;/c25 cm.
504
/aIncludes bibliographical references (p. 183-195) and index.
505
/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.
650
/aSecurities/xPrices.
650
/aInvestments/xMathematical models.
650
/aStock exchanges/xMathematical models.
999
/aVTLSSORT0010*0030*0050*0080*0200*0390*0900*1000*2450*2600*3000*5040*5050*6500*6501*6502*6503*9990*9991
