Average Reviews:
(More customer reviews)The book by Professor Hasbrouck "Empirical Market Microstructure" is an excellent additon to the recent literature on market microstructure. by focussing on empirical modelling of various aspects of market microstructure, the book fills a much needed gap between high end practionaers and academia. It complements the theoretical book by Professor O'Hara, and concisely presents a great deal of empirical work done by Prof. Hasbrouck himself in this field.
Ocassionally the book reads like a cook book and at times like a summary of the papers; for people who have read his earlier papers, the material sounds a bit repititive.
some more effort on highlighting the differences in empirical results between equity, FX and Fixed income markets, and reconcilling with theoretical ideas would have been far more informative.
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