Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
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11 Dealers and Their Inventories
12 Limit Order Markets
Retrospective and Comparative
15 Prospective Trading Costs and Execution Strategies
US Equity Markets
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Empirical Market Microstructure: The Institutions, Economics, and ...
No preview available - 2007
agent analysis arrival ask quotes asymmetric information auctions autocovariances autoregressive representation bid and ask bids and offers broker buy order chapter Cholesky Cholesky decomposition Cholesky factorization coefficients cointegration components computed conditional dealer market discussed distribution dynamics economic efficient price equation equilibrium estimate Euronext event example execution cost forecast function Hasbrouck implies information asymmetries informed trader Instinet inventory lagged limit order book limit order market linear liquidity suppliers Madhavan market maker market microstructure market order martingale mechanism microstructure moving average NASDAQ NYSE opportunity cost order choice order flow parameters portfolio position price changes price impact price schedule purchase quantity quote midpoint random random-walk Roll model sample security markets sell order sequential trade models specialist statistical structural model tion trade direction trade prices trading costs trading venues uncorrelated uninformed variable variance vector VWAP zero