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…


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..

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