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The Econometrics of Sequential Trade Models : Theory and Applications Using High Frequency Data - Stefan Kokot

The Econometrics of Sequential Trade Models

Theory and Applications Using High Frequency Data

Paperback Published: 9th February 2004
ISBN: 9783540208143
Number Of Pages: 196

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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.

Contents
Introductionp. 1
Trading Mechanisms on financial marketsp. 5
Sequential trade modelsp. 15
Econometric analysis of sequential trade modelsp. 61
Empirical resultsp. 93
Conclusionsp. 145
Appendixp. 147
Referencesp. 177
List of figuresp. 189
List of tablesp. 191
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540208143
ISBN-10: 3540208143
Series: Lecture Notes in Economic and Mathematical Systems
Audience: General
Format: Paperback
Language: English
Number Of Pages: 196
Published: 9th February 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.39 x 15.6  x 1.14
Weight (kg): 0.3