Skip to main content
SpringerLink
Log in
Book cover

The Econometrics of Sequential Trade Models

Theory and Applications Using High Frequency Data

  • Book
  • © 2004

Overview

Authors:
  1. Stefan Kokot

    1. Dreieich, Germany

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 538)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (6 chapters)

  1. Front Matter

    Pages I-XI
    Download chapter PDF

  2. Introduction

    • Stefan Kokot
    Pages 1-4

  3. Trading Mechanisms on Financial Markets

    • Stefan Kokot
    Pages 5-13

  4. Sequential Trade Models

    • Stefan Kokot
    Pages 15-60

  5. Econometric Analysis of Sequential Trade Models

    • Stefan Kokot
    Pages 61-92

  6. Empirical Results

    • Stefan Kokot
    Pages 93-144

  7. Conclusions

    • Stefan Kokot
    Pages 145-147

  8. Back Matter

    Pages 149-191
    Download chapter PDF
Back to top

Keywords

About this book

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.

Authors and Affiliations

  • Dreieich, Germany

    Stefan Kokot

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation