Hasbrouck’s Empirical Market Microstructure

January 2, 2009

I was lucky enough to recieve a copy of Joel Hasbrouck‘s Empirical Market Microstructure this Christmas; I’ve now worked my way through the first few chapters. Hasbrouck opens with a general survey of trading in the first two chapters, covering similar ground to Harris, and then follows with the Roll model. So far I’m favourably impressed, but will post more later…

About these ads

2 Responses to “Hasbrouck’s Empirical Market Microstructure”

  1. Majkara Says:

    You are reading useless material.

    Have just went over the limit order blog entries.. oh man, do not listen to any of it. Utter amateur nonsense..

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s