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.

Notes on the Text

Code Snippets:
    Chapter 3 (The Roll Model of Trade Prices):
    Chapter 4 (Univariate Time-Series Analysis):
    Chapter 5 (Sequential Trade Models):
    Chapter 7 (Sequential Trade Models):
    Chapter 10 (Multiple Securities and Multiple Prices):
    Chapter 11 (Dealers and Their Inventories):
    Chapter 12 (Limit Order Markets):

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