2 of 3 people found the following review helpful
Great first book on Empirical Market Microstrucutre,
This review is from: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Hardcover)
Hasbroucks book is a classic in the field and is an excellent first book for someone wishing to learn how to model the microstructure of financial markets, something that has become increasingly important in the last 10 years or so.
His modus operandi is the very basic Roll model and demonstrating how this can be extended and adapted to a large number of problems. I strongly support this method of introducing someone to this vast and scattered research area, especially for students aiming to work outside of academia after graduation.
The book does require some experience with time series modeling (at the level of for instance Brockwell & Davis) but other than that doesn't require much exposure to advanced math. It should be an excellent book for finance students at the early graduate level and should also be good for self study as it includes a number of good exercises (no answers though).