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Bibliografická citace

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EB
ONLINE
Oxford ; New York : Oxford University Press, 2007
1 online resource (ix, 198 p.) : ill
Externí odkaz    Plný text PDF 
   * Návod pro vzdálený přístup 


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

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