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Home > Business and Economics > Economics > Econometrics and economic statistics > The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data(538 Lecture Notes in Economics and Mathematical Systems)
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The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data(538 Lecture Notes in Economics and Mathematical Systems)

The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data(538 Lecture Notes in Economics and Mathematical Systems)


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About the Book

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.

Table of Contents:
1 Introduction.- 2 Trading Mechanisms on Financial Markets.- 2.1 Typology of Security Markets.- 2.2 Market Participants and Institutional Setup on the NYSE.- 3 Sequential Trade Models.- 3.1 Market Microstructure Theory.- 3.2 Microstructure Models of the Black Box under Asymmetric Information.- 3.3 The Basic Sequential Trade Model.- 3.4 Extensions.- 3.5 Estimation of Structural Models.- 3.6 Results of Previous Studies.- 4 Econometric Analysis of Sequential Trade Models.- 4.1 The EKOP Model and Finite Mixture Models.- 4.2 Model Evaluation and Specification Testing.- 4.3 Mixture and Regime Switching Models in Econometrics.- 5 Empirical Results.- 5.1 The TAQ Database.- 5.2 The Trade Direction.- 5.3 Descriptive Statistics.- 5.4 Estimation Results.- 6 Conclusions.- A.l The Poisson Process.- A.2 Maximum Likelihood Estimation of a Multivariate Poisson Mixture Model.- A.3 The EM-Algorithm.- A.4 The Poisson Regression Model.- A.5 The Negative Binomial Regression Model.- A.6 Moments of Mixture Distributions.- A.7 Unobserved Individual Variation of Trade Arrival Rates.- A.8 Markov Chains.- A.9 The Smoothing Algorithm.- A.1O Estimation of Transition Probabilities in the Markov Switching Model.- A.11 Moments of the Dependent Variable in a Markov Switching Model.- References.- List of Figures.- List of Tables.


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Product Details
  • ISBN-13: 9783540208143
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Publisher Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Height: 233 mm
  • No of Pages: 196
  • Returnable: Y
  • Sub Title: Theory and Applications Using High Frequency Data
  • ISBN-10: 3540208143
  • Publisher Date: 09 Feb 2004
  • Binding: Paperback
  • Language: English
  • Returnable: Y
  • Series Title: 538 Lecture Notes in Economics and Mathematical Systems
  • Width: 155 mm


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The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data(538 Lecture Notes in Economics and Mathematical Systems)
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The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data(538 Lecture Notes in Economics and Mathematical Systems)
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