Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading [NOOK Book]

Overview

Discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
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Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading

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Overview

Discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
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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)
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Product Details

  • ISBN-13: 9780199885329
  • Publisher: Oxford University Press, USA
  • Publication date: 12/8/2006
  • Sold by: Barnes & Noble
  • Format: eBook
  • File size: 20 MB
  • Note: This product may take a few minutes to download.

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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Table of Contents

1. Introduction
2. Trading Mechanisms
3. The Roll Model of Trade Prices
4. Univariate Time-Series Analysis
5. Sequential Trade Models
6. Order Flow And The Probability of Informed Trading
7. Strategic Trade Models
8. A Generalized Roll Model
9. Multivariate Linear Microstructure Models
10. Multiple Securities and Multiple Prices
11. Dealers and Their Inventories
12. Limit Order Markets
13. Depth
14. Trading Costs: Retrospective and Comparative
15. Prospective Trading Costs and Execution Strategies

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