Empirical Market Microstructure – Joel Hasbrouck

Empirical Market Microstructure by Joel Hasbrouck Description

The book examines economic models of asymmetric information, inventory control, and cost-minimizing trading techniques, as well as the mechanisms by which securities are exchanged. The field of market microstructure is made up of disconnected models, none of which can be directly tested, and various empirical data that are weakly related to one another.

The book provides a solid introduction to fundamental microstructure analysis, although I believe the content is a little out of date. Furthermore, methods such as stochastic pdes, risk minimization, and game-theoretic approaches are barely mentioned.

The book does need some knowledge with time series modeling (at the level of, say, Brockwell and Davis), but not much exposure to advanced arithmetic. It should be a fantastic book for early graduate finance students, as well as for self-study, as it includes a lot of useful activities (no answers though).