Empirical Market Microstructure
Subtitle: The Institutions, Economics, and Econometrics of Securities Trading
Publisher: Oxford University Press, USA
Published: December 8, 2006
Language: eng
Number of pages: 208
ISBN-13: 9780195301649
Description: "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.