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The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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Item description for The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data (Lecture Notes in Economics and Mathematical Systems) by Stefan Kokot...

The book inquires the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that extends earlier work in the field substantially. Several market microstructure models in the spirit of Easley, Kiefer, O'Hara and Paperman (Journal of Finance, 1996) are reviewed. The common theme of these papers is the focus on the consequences of information based trading on the price setting behaviour of the market maker. Assuming that some traders have private information about a security's true value, a number of relations between observable quantities like the spread, the volume, timing of trades and volatility of asset prices can be established. The authors introduce a number of improved methods for estimation and hypothesis testing for sequential trade models and apply this econometric framework employing a high frequency transaction data set for a number of stocks traded on the New York Stock Exchange during August 1996. All results that are necessary for understanding the empirical framework introduced are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics.





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Item Specifications...


Pages   193
Est. Packaging Dimensions:   Length: 8.9" Width: 6.1" Height: 0.5"
Weight:   0.1 lbs.
Binding  Softcover
Release Date   Apr 15, 2004
Publisher   Springer
ISBN  3540208143  
ISBN13  9783540208143  


Availability  92 units.
Availability accurate as of Jan 17, 2017 07:35.
Usually ships within one to two business days from La Vergne, TN.
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Product Categories

1Books > Special Features > New & Used Textbooks > Business & Finance > Finance
2Books > Subjects > Business & Investing > Economics > Econometrics
3Books > Subjects > Business & Investing > Economics > General
4Books > Subjects > Business & Investing > Economics > Statistics
5Books > Subjects > Business & Investing > General
6Books > Subjects > Business & Investing > Investing > General
7Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General



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