The book discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
Readership: Professors and Ph.D students in the field of financial economics,
Joel Hasbrouck, Professor of Finance, Stern School of Business, New York University
"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." - Larry Harris, Fred V. Keenan Chair in Finance, USC Marshall School of Business and author of Trading and Exchanges (OUP, 2002)