.

0 (hodnocen0 x )

EB

ONLINE

Oxford ; New York : Oxford University Press, 2007

1 online resource (ix, 198 p.) : ill

ISBN 0195301641 (cloth : alk. paper)

ISBN 9780195301649 (cloth : alk. paper)

Includes bibliographical references (p. 183-195) and index

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.

Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries

001702315

full

(Au-PeEL)EBL415271

(CaONFJC)MIL223528

(CaPaEBR)ebr10271467

(MiAaPQ)EBC415271

(OCoLC)476241387