Microstructure: The Organization of Trading and Short Term Price Behavior

The International Library of Critical Writings in Financial Economics series

Edited by Hans R. Stoll, The Anne Marie and Thomas B. Walker Professor of Finance and Director of the Financial Markets Research Center, Owen Graduate School of Management, Vanderbilt University, US

This book is an authoritative collection of the most important published articles on key issues in securities markets including market design, the sources of the bid ask spread, and the short term movement of prices. The articles trace the development of this relatively new field of market microstructure while at the same time reflecting the latest ideas. At a time when securities markets are undergoing dramatic change, this two volume set provides important guidance to students, users and regulators of securities markets.