Empirical market microstructure: the institutions, economics and econometrics of securities trading
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford
Oxford University Press
2007
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| Subjects: | |
| Online Access: | Contributor biographical information Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | ix, 198 Seiten Diagramme |
| ISBN: | 9780195301649 |
Staff View
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| 100 | 1 | |a Hasbrouck, Joel |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Empirical market microstructure |b the institutions, economics and econometrics of securities trading |c Joel Hasbrouck |
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| 300 | |a ix, 198 Seiten |b Diagramme | ||
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| 650 | 4 | |a Securities | |
| 650 | 4 | |a Securities |x Prices | |
| 650 | 4 | |a Investments |x Mathematical models | |
| 650 | 4 | |a Stock exchanges |x Mathematical models | |
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Record in the Search Index
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| adam_text | CONTENTS 1. INTRODUCTION 3 2. TRADING MECHANISMS 9 3. THE ROLL MODEL OF
TRADE PRICES 23 4. UNIVAIIATE TIME-SERIES ANALYSIS . 31 5. SEQUENTIAL
TRADE MODELS 42 6. ORDER FLOW AND THE PROBABILITY OF INFORMED TRADING 56
7. STRATEGIC TRADE MODELS 61 8. A GENERALIZED ROLL MODEL 67 9.
MULTIVARIATE LINEAR MICROSTRUCTURE MODELS 78 10. MULTIPLE SECURITIES AND
MULTIPLE PRICES 94 11. DEALERS AND THEIR INVENTORIES 106 12. LIMIT ORDER
MARKETS 118 13. DEPTH 131 14. TRADING COSTS; RETROSPECTIVE AND
COMPARATIVE 143 15. PROSPECTIVE TRADING COSTS AND EXECUTION STRATEGIES
153 APPENDIX: U,S, EQUITY MARKETS 166 NOTES 179 REFERENCES 183 INDEX 196
PPN: 261816047 TITEL: EMPIRICAL MARKET MICROSTRUCTURE : THE
INSTITUTIONS, ECONOMICS, AND ECONOMETRICS OF SECURITIES TRADING / JOEL
HASBROUCK. - OXFORD [U.A.] : OXFORD UNIV. PRESS, 2007 ISBN:
978-0-19-530164-9 BIBLIOGRAPHISCHER DATENSATZ IM SWB-VERBUND
|
| adam_txt |
CONTENTS 1. INTRODUCTION 3 2. TRADING MECHANISMS 9 3. THE ROLL MODEL OF
TRADE PRICES 23 4. UNIVAIIATE TIME-SERIES ANALYSIS . 31 5. SEQUENTIAL
TRADE MODELS 42 6. ORDER FLOW AND THE PROBABILITY OF INFORMED TRADING 56
7. STRATEGIC TRADE MODELS 61 8. A GENERALIZED ROLL MODEL 67 9.
MULTIVARIATE LINEAR MICROSTRUCTURE MODELS 78 10. MULTIPLE SECURITIES AND
MULTIPLE PRICES 94 11. DEALERS AND THEIR INVENTORIES 106 12. LIMIT ORDER
MARKETS 118 13. DEPTH 131 14. TRADING COSTS; RETROSPECTIVE AND
COMPARATIVE 143 15. PROSPECTIVE TRADING COSTS AND EXECUTION STRATEGIES
153 APPENDIX: U,S, EQUITY MARKETS 166 NOTES 179 REFERENCES 183 INDEX 196
PPN: 261816047 TITEL: EMPIRICAL MARKET MICROSTRUCTURE : THE
INSTITUTIONS, ECONOMICS, AND ECONOMETRICS OF SECURITIES TRADING / JOEL
HASBROUCK. - OXFORD [U.A.] : OXFORD UNIV. PRESS, 2007 ISBN:
978-0-19-530164-9 BIBLIOGRAPHISCHER DATENSATZ IM SWB-VERBUND |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Hasbrouck, Joel |
| author_facet | Hasbrouck, Joel |
| author_role | aut |
| author_sort | Hasbrouck, Joel |
| author_variant | j h jh |
| building | Verbundindex |
| bvnumber | BV022719877 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4521 |
| callnumber-raw | HG4521 |
| callnumber-search | HG4521 |
| callnumber-sort | HG 44521 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 QK 626 QK 660 |
| classification_tum | WIR 017f WIR 165f |
| ctrlnum | (OCoLC)63472962 (DE-599)BVBBV022719877 |
| dewey-full | 332.64 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64 |
| dewey-search | 332.64 |
| dewey-sort | 3332.64 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| indexdate | 2024-07-09T21:04:27Z |
| institution | BVB |
| isbn | 9780195301649 |
| language | English |
| lccn | 2006003935 |
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| physical | ix, 198 Seiten Diagramme |
| publishDate | 2007 |
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| spelling | Hasbrouck, Joel Verfasser aut Empirical market microstructure the institutions, economics and econometrics of securities trading Joel Hasbrouck Oxford Oxford University Press 2007 ix, 198 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Literaturangaben Effectenhandel gtt Finanças (métodos matemáticos) larpcal Wiskundige modellen gtt Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 s Ökonometrie (DE-588)4132280-0 s DE-604 Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s Finanzmathematik (DE-588)4017195-4 s http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html Contributor biographical information SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925619&sequence=000013&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hasbrouck, Joel Empirical market microstructure the institutions, economics and econometrics of securities trading Effectenhandel gtt Finanças (métodos matemáticos) larpcal Wiskundige modellen gtt Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Wertpapierhandel (DE-588)4189707-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4508395-2 (DE-588)4189707-9 (DE-588)4017195-4 (DE-588)4132280-0 |
| title | Empirical market microstructure the institutions, economics and econometrics of securities trading |
| title_auth | Empirical market microstructure the institutions, economics and econometrics of securities trading |
| title_exact_search | Empirical market microstructure the institutions, economics and econometrics of securities trading |
| title_exact_search_txtP | Empirical market microstructure the institutions, economics and econometrics of securities trading |
| title_full | Empirical market microstructure the institutions, economics and econometrics of securities trading Joel Hasbrouck |
| title_fullStr | Empirical market microstructure the institutions, economics and econometrics of securities trading Joel Hasbrouck |
| title_full_unstemmed | Empirical market microstructure the institutions, economics and econometrics of securities trading Joel Hasbrouck |
| title_short | Empirical market microstructure |
| title_sort | empirical market microstructure the institutions economics and econometrics of securities trading |
| title_sub | the institutions, economics and econometrics of securities trading |
| topic | Effectenhandel gtt Finanças (métodos matemáticos) larpcal Wiskundige modellen gtt Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Wertpapierhandel (DE-588)4189707-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Effectenhandel Finanças (métodos matemáticos) Wiskundige modellen Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Mikrostrukturtheorie Kapitalmarkttheorie Wertpapierhandel Finanzmathematik Ökonometrie |
| url | http://www.loc.gov/catdir/enhancements/fy0724/2006003935-b.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925619&sequence=000013&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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