Empirical market microstructure the institutions, economics and econometrics of securities trading
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| Format: | eBook |
| Language: | Inglés |
| Published: |
Oxford ; New York :
Oxford University Press
2007.
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| Subjects: | |
| Online Access: | https://recursos.uloyola.es/login?url=https://accedys.uloyola.es:8443/accedix0/sitios/ebook.php?id=164192 |
| See on Universidad Loyola - Universidad Loyola Granada: | https://colectivo.uloyola.es/Record/ELB164192 |
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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.
