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

Discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies. The Interactions That Occur In Securities Markets Are Among The Fastest, Most Information Intensive, And Most Highly Strategic Of All Economic Phenomena. Empirical Market Microstructure 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 Empirical Methods Discussed In The Book Draw On The Power Of Multivariate Linear Time Series Analysis. The Book Discusses The Application Of Univariate Arma Analysis To Trade Prices, Vector Autoregressions To Price And Order Data, And Vector Error Correction Models To Situations Where The Same Security Is Traded In Many Markets.--book Jacket. 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. Joel Hasbrouck. Includes Bibliographical References (p. 183-195) And Index. 1. Introduction. 2. Trading Mechanisms. 3. The Roll Model of Trade Prices. 4. Univariate Time-Series Analysis. 5. Sequential Trade Models. 6. Order Flow And The Probability of Informed Trading. 7. Strategic Trade Models. 8. A Generalized Roll Model. 9. Multivariate Linear Microstructure Models. 10. Multiple Securities and Multiple Prices. 11. Dealers and Their Inventories. 12. Limit Order Markets. 13. Depth. 14. Trading Costs: Retrospective and Comparative. 15. Prospective Trading Costs and Execution Strategies 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. The book discusses the mechanisms by which securities are traded, as well as examining economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.