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.

Notes on the Text- Autocovariance.py (estimates the autocorrelations)

- RollModel.py (computes the parameters in the Roll model)

- chap_4_prob_1.nb (some computations for this problem)

- chap_5_bid_ask_spread.nb (some algebra needed to calculate the bid-ask spread)

- chapter_7_algebra.nb (some algebra needed to work various parts)

- chap_10_the_VMA_representation.nb (some algebra needed to work various parts)

- chap_10_structural_model.py (works Exercise 10.1)

- ex_11_1.R (works Exercise 11.1)

- simplify_dealer_starting_at_optimum.nb (risk aversion and dealer behavior)

- chap_12_plot_EU.R (duplicates Figure 12.1)

John Weatherwax Last modified: Fri Jun 22 17:08:44 EDT 2007