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Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading
     

Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading

by Joel Hasbrouck
 

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The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that

Overview

The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.

Editorial Reviews

From the Publisher
"Joel Hasbrouck provides the first integrated introduction to the most important models of empirical market microstructure. The development is logical and easy to follow. Students and practioners will undoubtedly greatly appreciate the care with which Hasbrouck has identified the strengths and weaknesses of the models, and their relations to each other. This book represents an outstanding synthesis of academic work over the last 20 years. It is—and will long be—the authoritative treatment on the subject."—Larry Harris, Fred V. Keenan Chair in Finance, USC Marshall School of Business and author of Trading and Exchanges (OUP, 2002)

Product Details

ISBN-13:
9780199885329
Publisher:
Oxford University Press
Publication date:
01/04/2007
Sold by:
Barnes & Noble
Format:
NOOK Book
File size:
20 MB
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Meet the Author

Joel Hasbrouck is the Kenneth G. Langone Professor of Business Administration and Professor of Finance at the Stern School of Business, New York University. In addition to teaching at Stern, he has served as a constultant to the New York Stock Exchange and the American Stock Exchange, and on the scientific adviosry board of ITG, Inc. and Nasdaq's economic advisory board.

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