Empirical market microstructure : the institutions, economics and econometrics of securities trading / Joel Hasbrouck.

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Bibliographic Details
Published:	Oxford ; New York : Oxford University Press, 2007.
Online Access:	Table of contents only
Main Author:	Hasbrouck, Joel
Subjects:	Securities. Securities > Prices. Investments > Mathematical models. Stock exchanges > Mathematical models.
Format:	Book

Empirical market microstructure : the institutions, economics and econometrics of securities trading /

Table of 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.

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
App. U.S. equity markets.