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

By Joel Hasbrouck | Go to book overview
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Empirical Market Microstructure: The Institutions, Economics and Econometrics of Securities Trading
Table of contents

Table of contents

  • Title Page iii
  • Preface vii
  • Contents ix
  • 1- Introduction 3
  • 2- Trading Mechanisms 9
  • 3- The Roll Model of Trade Prices 23
  • 4- Univariate Time-Series 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
  • 9- Multivariate Linear Microstructure Models 78
  • 10- Multiple Securities and Multiple Prices 94
  • 11- Dealers and Their Inventories 106
  • 12- Limit Order Markets 118
  • 13- Depth 131
  • 14- Trading Costs- Retrospective and Comparative 143
  • 15- Prospective Trading Costs and Execution Strategies 153
  • Appendix- U.S. Equity Markets 166
  • Notes 179
  • References 183
  • Index 196
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