Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading

Joel Hasbrouck · 2007 · Oxford University Press

IntermediateHFTIntradayBook

How to actually measure spreads, price impact and price discovery from tick data. Short, rigorous and practical.

Find the book ↗

At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT, Intraday
Data needed: Trades, L1 quotes Set what data you have
Themes: Microstructure Price impact
Assets: Equities
Market: Global

Your notes

Report a problem with this entry

@book{hasbrouck2007empirical, author = {Hasbrouck, Joel}, title = {{Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading}}, publisher = {Oxford University Press}, year = {2007}, url = {https://openlibrary.org/works/OL3608782W} }