Empirical Market Microstructure
T---he Institutions, Economics, and Econometrics of Securities Trading

我这有本，同学做毕业论文导师给的，好书共分享。请大家确认有没有？如果没有我立刻上传，因为其他文件之前因发重复被斑竹删过。小心求证。

Joel Hasbrouck

Oxford Press

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

[此贴子已经被作者于2008-3-21 9:22:34编辑过]