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Trading and Exchanges

FINANCIAL MANAGEMENT AFFILIATION Survey and Synthesis Series The Look for Value: Computing the Company's Expense of Capital Michael jordan C. Ehrhardt Managing Pension check Plans: An extensive Guide to Enhancing Plan Performance Dennis Elizabeth. Logue and Jack T. Rader Successful Asset Managing: A Practical Guide to Stock Profile Optimization and Asset Portion Richard O. Michaud Actual Options: Handling Strategic Expense in an Uncertain World Martha Amram and Nalin Kulatilaka Beyond Avarice and Fear: Understanding Behavioral Finance and the Psychology of Investing Hersh Shefrin Dividend Policy: The Impact on Organization Value Ronald C. Rental, Kose Steve, Avner Kalay, Uri Loewenstein, and Oded H. Sarig Value Centered Management: The organization Response to Aktionar Revolution John D. Matn and J. William Small Debt Management: A Practitioner's Guidebook John M. Finnerty and Douglas R. Emery Real Estate Investment Trusts: Composition, Performance, and Investment Chances Su Ryan Chan, Ruben Erickson, and Ko Wang Trading and Exchanges: Industry Microstructure intended for Practitioners Larry Harris

Trading and Exchanges

market microstructure for Practitioners






Oxford New York Auckland Bangkok Mejores Aires Hat Town Chennai Dar fue Salaam Delhi Hong Kong Istanbul Karachi Kolkata Kuala Lumpur Madrid Melbourne Mexico Metropolis Mumbai Nairobi Sao Paulo Shanghai Singapore Taipei Tokyo Toronto

Copyright В© 2003 by Oxford University Press, Inc.

Published by Oxford University Press, Inc. 198 Madison Method, New York, Ny, 10016 Oxford is actually a registered trademark of Oxford University Press All legal rights reserved. Simply no part of this kind of publication might be reproduced, trapped in a retrieval system, or transmitted, in a form or by any means, electronic digital, mechanical, photocopying, recording, or perhaps, without the prior permission of Oxford University Press. Catalogue of Congress Cataloging-in-Publication Data Harris, Larry, 1956Trading and exchanges: marketplace microstructure for practitioners / Larry Harris p. cm. —(Financial Administration Association survey and activity series) Comes with bibliographical references and index. ISBN 0-19-514470-8 1 . Marketplaces. 2 . Exchange. 3. Commerce. I. Subject. II. Series. HF5470. H37 2002 332. 64—dc21 2002004622

9 almost eight 7 six 5 some 3 2 1 Printed in the United States of America upon acid-free paper

This book is dedicated to the memory in the victims in the September 1 1, 2001, terrorist functions in Nyc, Virginia, and Pennsylvania and the honor of people people in whose heroic activities on that day kept so many lives.

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A large number of people written for the success of this project using their encouragement, suggestions, knowledge, and expertise. I would personally not have started this task without their interest, and i also would not possess completed this without their very own support. The book is way better for their input. I received my first encouragement like a graduate pupil at the University of Chi town, long before That i knew of anything about industry microstructure. Teacher Arnold Zellner advised myself to publish an e book based on classes I would give when I became a mentor. Although it looked like unimaginable in my experience at the time, My spouse and i never did not remember his advice or his confidence in me. We look forward to time when I will read an e book written by one of my pupils. Several writers suggested i write this book. I particularly appreciate the fascination shown simply by editors Mike Junior, Randall Adams, Maureen Riopelle, Kenneth MacLeod, and Paul Donnelly. I have without a doubt that they most would have recently been very helpful inside the development of this book. I feel dissapointed that I cannot work with all of them. Their confidence, enthusiasm, and vision helped kindle and sustain my interest. This guide would not have been completely possible without the many information that I discovered from my own academic co-workers. I especially appreciate the lessons that they...