Empirical Market MicrostructureThe Institutions, Economics, and Econometrics of Securities Trading
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
Appendix: U.S. Equity Markets 166
Notes 179
References 183
Index 196