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

by Joel Hasbrouck (Author)
Key Phrases: competitive dealer market, sequential trade models, liquidity suppliers, New York Stock Exchange, Time Figure (more...)

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)


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

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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: 4.0 out of 5 stars See all reviews (1 customer review)
• Amazon.com Sales Rank: #241,033 in Books (See Bestsellers in Books)

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Most Helpful Customer Reviews

11 of 15 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)

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.