The Econometrics Of Sequential Trade Models: Theory And Applications Using High Frequency Data (lecture Notes In Economics And Mathematical Systems)
by Stefan Kokot /
2004 / English / PDF
5.1 MB Download
This clearly structured and well-written reference work examines
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 substantially advances earlier work in
the field. The results that are necessary for understanding the
introduced empirical framework 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.
This clearly structured and well-written reference work examines
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 substantially advances earlier work in
the field. The results that are necessary for understanding the
introduced empirical framework 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.
