书目详细信息
： Empirical market microstructure :
书目信息 机读格式(MARC)
| ISBN： | 9780195301649 (cloth : alk. paper) |
|---|---|
| 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. |