Links
Links
Here you can find only few web links on market microstructure. I list only some books that can be considered as standard references.
Joel Hasbrouck - Joel has an excellent Ph.D. course on empirical market microstructure and he recently wrote a book on this topic.
Martin Evans and Richard Lyons - These two authors made seminal works on the FX microstructure. In particular, Evans provides web links to several researchers active on this field.
Maureen O'Hara wrote a book on microstructure theory that is the main reference in this field. Larry Harris has a book on "Trading and Exchanges: Market Microstructure for Practitioners" (Financial Management Association Survey & Synthesis S.).
Frank De Jong and Barbara Rindi recently published a very accessible and comprehensive book: De Jong F. and B. Rindi (2009), "The Microstructure of Financial Markets", Cambridge University Press.