Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading

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Oxford University Press, Jan 4, 2007 - Business & Economics - 208 pages
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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Contents

1 Introduction
3
2 Trading Mechanisms
9
3 The Roll Model of Trade Prices
23
4 Univariate TimeSeries Analysis
31
5 Sequential Trade Models
42
6 Order Flow and the Probability of Informed Trading
56
7 Strategic Trade Models
61
8 A Generalized Roll Model
67
11 Dealers and Their Inventories
106
12 Limit Order Markets
118
13 Depth
131
Retrospective and Comparative
143
15 Prospective Trading Costs and Execution Strategies
153
US Equity Markets
166
Notes
179
References
183

9 Multivariate Linear Microstructure Models
78
10 Multiple Securities and Multiple Prices
94

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About the author (2007)

Joel Hasbrouck is the Kenneth G. Langone Professor of Business Administration and Professor of Finance at the Stern School of Business, New York University. In addition to teaching at Stern, he has served as a constultant to the New York Stock Exchange and the American Stock Exchange, and on the scientific adviosry board of ITG, Inc. and Nasdaq's economic advisory board.

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