Empirical market microstructure the institutions, economics and econometrics of securities trading - Hasbrouck, Joel. (Oxford ; New York : Oxford University Press, 2007)
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.
Includes bibliographical references (p. 183-195) and index.
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Electronic reproduction. Santa Fe, Arg.: elibro, 2022. Available via World Wide Web. Access may be limited to eLibro affiliated libraries.
Keywords: Securities; Securities -- Prices; Investments -- Mathematical models; Stock exchanges -- Mathematical models; Electronic books