内容简介
《Empirical Market Microstructure》是由金融经济学家Joel Hasbrouck撰写的一本重要著作，旨在探讨金融市场微观结构的实证分析方法。本书深入研究了金融市场中的交易机制、价格形成过程以及信息如何融入价格等核心问题。Hasbrouck结合了理论模型与实证技术，为读者提供了分析高频金融数据的工具和方法。
书中涵盖了市场微观结构的关键主题，包括交易成本、流动性、波动性、价格发现以及市场质量等。作者特别强调了计量经济学方法在分析市场微观结构数据中的应用，如向量自回归模型、协整分析和状态空间模型等。通过实际案例和数据分析，Hasbrouck展示了如何利用这些方法来理解市场行为。
本书适合金融学、经济学研究生以及从业者阅读，不仅提供了理论基础，还给出了大量实证研究的范例，帮助读者掌握分析真实市场数据的技能。Joel Hasbrouck是纽约大学斯特恩商学院的教授，他在市场微观结构领域有着丰富的研究经验，本书是其多年研究和教学的结晶。
目录
Empirical Market Microstructure
Preface
Contents
Part I: Univariate models of security prices
Chapter 1. Market microstructure: an overview
Chapter 2. The long-term dynamics of security prices
Chapter 3.A dealer market with fixed transaction costs: the Rollmodel
Chapter 4.Moving average and autoregressive representations ofprice changes
Chapter 5. Sequential trade models of asymmetric information
Chapter 6. Strategic trade models of asymmetric information
Chapter 7. The generalized Roll model
Chapter 8. Univariate random-walk decompositions
Chapter 9. Estimation of time series models
Part II: Multivariate models of trades and prices
Chapter 10. The trade process and inventory control
Chapter 11. Random walks, etc.
Chapter 12. Multivariate time series
Chapter 13. Prices and trades: statistical models
Chapter 14. Prices and trades: structural models
Chapter 15. The probability of informed trading (PIN)
Preface
Contents
Part I: Univariate models of security prices
Chapter 1. Market microstructure: an overview
Chapter 2. The long-term dynamics of security prices
Chapter 3.A dealer market with fixed transaction costs: the Rollmodel
Chapter 4.Moving average and autoregressive representations ofprice changes
Chapter 5. Sequential trade models of asymmetric information
Chapter 6. Strategic trade models of asymmetric information
Chapter 7. The generalized Roll model
Chapter 8. Univariate random-walk decompositions
Chapter 9. Estimation of time series models
Part II: Multivariate models of trades and prices
Chapter 10. The trade process and inventory control
Chapter 11. Random walks, etc.
Chapter 12. Multivariate time series
Chapter 13. Prices and trades: statistical models
Chapter 14. Prices and trades: structural models
Chapter 15. The probability of informed trading (PIN)
Chapter 16. What do measures of information asymmetry tell us?
Part III: Limit orders
Chapter 18. Limit orders and dealer quotes
Chapter 19. Bidding and offering with uncertain execution
Chapter 20. Limit order submission strategies
Chapter 21. Dynamic equilibrium models
Part IV: Microstructure and asset pricing
Chapter 22. Trading and asset pricing with fixed transaction costs
Appendix: US equity markets: overview andrecent history
Bibliography
Part III: Limit orders
Chapter 18. Limit orders and dealer quotes
Chapter 19. Bidding and offering with uncertain execution
Chapter 20. Limit order submission strategies
Chapter 21. Dynamic equilibrium models
Part IV: Microstructure and asset pricing
Chapter 22. Trading and asset pricing with fixed transaction costs
Appendix: US equity markets: overview andrecent history
Bibliography
重要申明：
本书由书友@李李李发布分享，仅供学习交流使用，版权归原作者所有。如有侵权，请联系我们删除。
本书由书友@李李李发布分享，仅供学习交流使用，版权归原作者所有。如有侵权，请联系我们删除。
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