Empirical market microstructure: the institutions, economics and econometrics of securities trading
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Oxford
Oxford University Press
2007
|
| Subjects: | |
| Item Description: | Includes bibliographical references (p. 183-195) and index |
| Physical Description: | ix, 198 p. |
| ISBN: | 0195301641 9780195301649 |
Staff View
MARC
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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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| 500 | |a Includes bibliographical references (p. 183-195) and index | ||
| 505 | 0 | |a 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 | |
| 505 | 0 | |a 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 | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Securities | |
| 650 | 4 | |a Securities |x Prices | |
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Record in the Search Index
| _version_ | 1804177222538362880 |
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| any_adam_object | |
| author | Hasbrouck, Joel |
| author_facet | Hasbrouck, Joel |
| author_role | aut |
| author_sort | Hasbrouck, Joel |
| author_variant | j h jh |
| building | Verbundindex |
| bvnumber | BV044132668 |
| classification_rvk | QK 620 QK 626 QK 660 |
| collection | ZDB-30-PAD ZDB-30-PBE |
| contents | 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 |
| ctrlnum | (ZDB-30-PAD)EBC415271 (ZDB-89-EBL)EBL415271 (OCoLC)132682496 (DE-599)BVBBV044132668 |
| 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 |
| format | Electronic eBook |
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| id | DE-604.BV044132668 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:44:39Z |
| institution | BVB |
| isbn | 0195301641 9780195301649 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029539513 |
| oclc_num | 132682496 |
| open_access_boolean | |
| physical | ix, 198 p. |
| psigel | ZDB-30-PAD ZDB-30-PBE |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Oxford University Press |
| record_format | marc |
| 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 p. txt rdacontent c rdamedia cr rdacarrier 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 Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Wertpapierhandel (DE-588)4189707-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 s Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Ökonometrie (DE-588)4132280-0 s 2\p DE-604 Erscheint auch als Druck-Ausgabe, Hardcover 0-19-530164-1 Erscheint auch als Druck-Ausgabe, Hardcover 978-0-19-530164-9 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Hasbrouck, Joel Empirical market microstructure the institutions, economics and econometrics of securities trading 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 Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Wertpapierhandel (DE-588)4189707-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4189707-9 (DE-588)4017195-4 (DE-588)4508395-2 (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_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 | Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Wertpapierhandel (DE-588)4189707-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Mathematisches Modell Securities Securities Prices Investments Mathematical models Stock exchanges Mathematical models Wertpapierhandel Finanzmathematik Mikrostrukturtheorie Kapitalmarkttheorie Ökonometrie |
| work_keys_str_mv | AT hasbrouckjoel empiricalmarketmicrostructuretheinstitutionseconomicsandeconometricsofsecuritiestrading |