Empirical Market Microstructure

Joel Hasbrouck  ·  2007

Reference. Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN 978-0-19-530164-9.

  • Claim: The economics of trading (spreads, price impact, price discovery) can be measured directly from trade and quote data.
  • Method: Econometric models of prices and trades: the Roll model, price-impact regressions, and vector autoregressions for price discovery.
  • Matters: The toolkit for the market-microstructure coursework that works with TAQ trade-and-quote data.
  • Connects to: Foucault–Pagano–Röell · Cartea–Jaimungal–Penalva
  • Code: —
Empirical Market Microstructure cover
Cover of Empirical Market Microstructure on the Open Library.