The Econometrics of Sequential Trade Models (Paperback)

Stefan Kokot

ISBN 10: 3540208143 / ISBN 13: 9783540208143

Verlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2004

Beschreibung

Paperback. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Bestandsnummer des Verkäufers 9783540208143

Bibliografische Details

• Titel: The Econometrics of Sequential Trade Models (Paperback)
• Verlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin
• Erscheinungsjahr: 2004
• Sprache: Englisch
• ISBN-10: 3540208143
• ISBN-13: 9783540208143
• Einband: Paperback
• Zustand: new

Über diesen Titel

Inhaltsangabe

The present study has been accepted as a doctoral thesis by the Depart­ ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi­ nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo­ hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.