Empirical market microstructure: the institutions, economics and econometrics of securities trading / Joel Hasbrouck.

Introduction
Trading mechanisms
The roll model of trade prices
Univariate time-series analysis
Sequential trade models
Order flow and the probability of informed trading
Strategic trade models
A generalized roll model
Multivariate linear microstructure models
Multiple securities and multiple prices
Dealers and their inventories
Limit order markets
Depth
Trading costs : retrospective and comparative
Prospective trading costs and execution strategies.

Introduction
Trading mechanisms
The roll model of trade prices
Univariate time series analysis
Sequential trade models
Order flow and the probability of informed trading (PIN)
Strategic trade models
A generalized roll model of trade prices
Multivariate linear microstructure models
Multiple securities and multiple prices
Dealers and their inventories
Limit order markets
Depth
Trading costs : retrospective and comparative
Prospective trading costs and execution strategies.