| ISBN: | 9780195301649 (cloth : alk. paper) |
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| ISBN: | 0195301641 (cloth : alk. paper) |
| 编目源: | DLC DLC BAKER BTCTA C#P YDXCP COO DLC |
| 个人名称: | Hasbrouck, Joel. |
| 题名: | Empirical market microstructure : the institutions, economics and econometrics of securities trading / Joel Hasbrouck. |
| 索书号: | F830.91/H344E |
| 出版发行项: | Oxford ; New York : Oxford University Press, 2007. |
| 载体形态: | ix, 198 p. : ill. ; 25 cm. |
| 书目附注: | Includes bibliographical references (p. 183-195) and index. |
| 格式化内容附注: | 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. |