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Book Categories |
1. Introduction
2. Trading Mechanisms
3. The Roll Model of Trade Prices
4. Univariate Time-Series Analysis
5. Sequential Trade Models
6. Order Flow And The Probability of Informed Trading
7. Strategic Trade Models
8. A Generalized Roll Model
9. Multivariate Linear Microstructure Models
10. Multiple Securities and Multiple Prices
11. Dealers and Their Inventories
12. Limit Order Markets
13. Depth
14. Trading Costs: Retrospective and Comparative
15. Prospective Trading Costs and Execution Strategies
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