Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading [Hardcover]

Joel Hasbrouck (Author)

Book Description

ISBN-10: 0195301641 | ISBN-13: 978-0195301649 | Publication Date: January 4, 2007

Discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.

Editorial Reviews

Review

"Joel Hasbrouck provides the first integrated introduction to the most important models of empirical market microstructure. The development is logical and easy to follow. Students and practioners will undoubtedly greatly appreciate the care with which Hasbrouck has identified the strengths and weaknesses of the models, and their relations to each other. This book represents an outstanding synthesis of academic work over the last 20 years. It is--and will long be--the authoritative treatment on the subject."--Larry Harris, Fred V. Keenan Chair in Finance, USC Marshall School of Business and author of Trading and Exchanges (OUP, 2002)

About the Author

Joel Hasbrouck is the Kenneth G. Langone Professor of Business Administration and Professor of Finance at the Stern School of Business, New York University. In addition to teaching at Stern, he has served as a constultant to the New York Stock Exchange and the American Stock Exchange, and on the scientific adviosry board of ITG, Inc. and Nasdaq's economic advisory board.

Product Details

• Hardcover: 208 pages
• Publisher: Oxford University Press, USA (January 4, 2007)
• Language: English
• ISBN-10: 0195301641
• ISBN-13: 978-0195301649
• Product Dimensions: 9.3 x 6.2 x 1 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Average Customer Review: 4.5 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #73,098 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

17 of 21 people found the following review helpful:

4.0 out of 5 stars Knowing the Market, March 8, 2007

By 

Gangadhar Darbha - See all my reviews
(REAL NAME)   

This review is from: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Hardcover)

The book by Professor Hasbrouck "Empirical Market Microstructure" is an excellent additon to the recent literature on market microstructure. by focussing on empirical modelling of various aspects of market microstructure, the book fills a much needed gap between high end practionaers and academia. It complements the theoretical book by Professor O'Hara, and concisely presents a great deal of empirical work done by Prof. Hasbrouck himself in this field.

Ocassionally the book reads like a cook book and at times like a summary of the papers; for people who have read his earlier papers, the material sounds a bit repititive.

some more effort on highlighting the differences in empirical results between equity, FX and Fixed income markets, and reconcilling with theoretical ideas would have been far more informative.

3 of 3 people found the following review helpful:

5.0 out of 5 stars The market microstructure bible, January 30, 2010

By 

Breno Neri "Breno Neri" (New York, NY) - See all my reviews
(REAL NAME)   

Amazon Verified Purchase

This review is from: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Hardcover)

This book should be on the shelf of anyone interested in market microstructure.

Being from 2007, it's much newer than Maureen O'Hara's Market Microstructure Theory, from 1998. And you can feel that when reading. I mean, Hasbrouck is more updated, citing very recent pieces of research.

5 of 7 people found the following review helpful:

4.0 out of 5 stars Empirical Market Microstructure, January 3, 2010

By 

Peter B. Lerner (Ithaca, N.Y.) - See all my reviews

Amazon Verified Purchase

This review is from: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Hardcover)

Nearly fifteen years has passed since the publication of Maureen O'Hara classic but, if anything, the subject became even murkier. In my opinion, the discipline of market microstructure consists of disjointed models, none of which is directly testable and numerous empirical results poorly connected between each other.

The work of premier practitioner of the subject, Prof. Joel Hasbrouck (NYU), helps the reader to untangle this mess, if it is at all possible. In this respect, I will prefer it, thumbs up, to my own book "Microstructure and noise in financial markets." It is naturally skewed towards author's own results, hence, it is heavily econometric. But, unlike many original papers, math is elegant and easy to follow. Furthermore, the reference section contains incomplete but excellent bibliography, which allows the reader to follow disparate models sometimes included in the main text in sketchy details.

I would not recommend this book for the first acquaintance with the subject-- for this, dependent on whether you have theoretical or practical bent-- the books by M. O'Hara and L. Harris still remain indispensable. But the student in the field will find a lot of valuable material and insights, and writing my own book, I kept "Empirical Market Microstructure..." not far from my working table.