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

ISBN-13: 9780195301649 / Angielski / Twarda / 2007 / 208 str.

Joel Hasbrouck

Opis

Discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.

Recenzje

Joel Hasbrouck provides the first integrated introduction to the most important models of empirical market microstructure. The development is logical and easy to follow. Students and practioners will undoubtedly greatly appreciate the care with which Hasbrouck has identified the strengths and weaknesses of the models, and their relations to each other. This book represents an outstanding synthesis of academic work over the last 20 years.