- Hardcover: 208 pages
- Publisher: Oxford University Press; 1 edition (January 4, 2007)
- Language: English
- ISBN-10: 0195301641
- ISBN-13: 978-0195301649
- Product Dimensions: 9.3 x 1 x 6.3 inches
- Shipping Weight: 1.4 pounds (View shipping rates and policies)
- Average Customer Review: 7 customer reviews
- Amazon Best Sellers Rank: #203,202 in Books (See Top 100 in Books)
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Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading 1st Edition
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"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.
Top customer reviews
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I have nothing bad to say about this text. Great for finance phd students interested in microstructure.
More applied than O'Hara.
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.
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.
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).
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.