方法证据记录
Market Microstructure Analysis
Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014).
源记录
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High-Frequency Data and Market Microstructure Analysis
分类方法记录 · regression-model / finance
- Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. · ISBN 978-0195301649
- Aït-Sahalia, Y. & Jacod, J. (2014). High-Frequency Financial Econometrics. Princeton University Press. · ISBN 978-0691161433
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