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

Introduction 3(6) Trading Mechanisms 9(14) The Roll Model of Trade Prices 23(8) Univariate Time-Series Analysis 31(11) Sequential Trade Models 42(14) Order Flow and the Probability of Informed Trading 56(5) Strategic Trade Models 61(6) A Generalized Roll Model 67(11) Multivariate Linear Microstructure Models 78(16) Multiple Securities and Multiple Prices 94(12) Dealers and Their Inventories 106(12) Limit Order Markets 118(13) Depth 131(12) Trading Costs: Retrospective and Comparative 143(10) Prospective Trading Costs and Execution Strategies 153(13) Appendix: U.S. Equity Markets 166(13) Notes 179(4) References 183(13) Index 196