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.
General
Imprint: |
Springer-Verlag
|
Country of origin: |
Germany |
Series: |
Lecture Notes in Economics and Mathematical Systems, 538 |
Release date: |
February 2004 |
First published: |
2004 |
Authors: |
Stefan Kokot
|
Dimensions: |
233 x 155 x 11mm (L x W x T) |
Format: |
Paperback
|
Pages: |
196 |
Edition: |
2004 ed. |
ISBN-13: |
978-3-540-20814-3 |
Categories: |
Books >
Business & Economics >
Economics >
Econometrics >
General
Promotions
|
LSN: |
3-540-20814-3 |
Barcode: |
9783540208143 |
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