Empirical Market Microstructure

by Joel Hasbrouck.

To learn this material as well as possible I worked through a great number of the book's statements and expanded (with further detail) upon anything that was unclear to me at the time. You can find the material I had time to write up by following the links on this page. Readers unfamiliar with this book can see what others have said here. In addition, to the books link the author has a nice page discussing many market microstructure topics here.

Chapter 3 (The Roll Model of Trade Prices):

• Autocovariance.py (estimates the autocorrelations)
  
• RollModel.py (computes the parameters in the Roll model)
  
Chapter 4 (Univariate Time-Series Analysis):

• chap_4_prob_1.nb (some computations for this problem)
  
Chapter 5 (Sequential Trade Models):

• chap_5_bid_ask_spread.nb (some algebra needed to calculate the bid-ask spread)
  
Chapter 7 (Sequential Trade Models):

• chapter_7_algebra.nb (some algebra needed to work various parts)
  
Chapter 10 (Multiple Securities and Multiple Prices):

• chap_10_the_VMA_representation.nb (some algebra needed to work various parts)
  
• chap_10_structural_model.py (works Exercise 10.1)
  
Chapter 11 (Dealers and Their Inventories):

• ex_11_1.R (works Exercise 11.1)
  
• simplify_dealer_starting_at_optimum.nb (risk aversion and dealer behavior)
  
Chapter 12 (Limit Order Markets):

• chap_12_plot_EU.R (duplicates Figure 12.1)