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1、ProfessorLarryHarrisTradingandExchangesDraftCopyTRADINGANDEXCHANGES:MarketMicrostructureforPractitionersLarryHarrisFredV.KeenanChairinFinanceMarshallSchoolofBusinessUniversityofSouthernCaliforniaMarch5,2002DraftForthcomingOxfordUniversityPressFall2002©20
2、02OxfordUniversityPressDraft:March1,2002iProfessorLarryHarrisTradingandExchangesDraftCopyThisbookisdedicatedtothememoryofthevictimsoftheSeptember11,2001terroristactsinNewYork,Virginia,andPennsylvaniaandtothehonorofthosepeoplewhoseheroicactionsonthatdaysa
3、vedsomanylives.©2002OxfordUniversityPressDraft:March1,2002iiiProfessorLarryHarrisTradingandExchangesDraftCopyAcknowledgementsManypeoplecontributedtothesuccessofthisprojectwiththeirencouragement,advice,knowledge,andexpertise.Iwouldnothavestartedthisprojec
4、twithouttheirinterest,andIwouldnothavecompleteditwithouttheirsupport.Thebookismuchbetterfortheircontributions.IreceivedmyfirstencouragementasagraduatestudentattheUniversityofChicago,longbeforeIknewanythingaboutmarketmicrostructure.ProfessorArnoldZellnera
5、dvisedmetopublishabookbasedonlecturesIwouldgivewhenIbecameaprofessor.Althoughitseemedunimaginabletomeatthetime,Ineverforgothisadviceorhisconfidenceinme.IlookforwardtothetimewhenIwillreadabookwrittenbyoneofmystudents.SeveralpublisherssuggestedthatIwriteth
6、isbook.IparticularlyappreciatetheinterestshownbyeditorsMikeJunior,RandallAdams,MaureenRiopelle,KennethMacLeod,andPaulDonnelly.Ihavenodoubtthattheyallwouldhavebeenveryhelpfulinthedevelopmentofthisbook.IregretthatIcouldnotworkwiththemall.Theirencouragement
7、,enthusiasm,andvisionhelpedkindleandsustainmyinterest.ThisbookwouldnothavebeenpossiblewithoutthemanyinsightsthatIlearnedfrommyacademiccolleagues.Iespeciallyappreciatethelessonsthattheytaughtme,andthestrongexpressionsofinterestandvaluableconstructivecriti
8、cismthattheyhavegivenme.Iwishtoacknowledgethefollowingcolleaguesbyname:AnatAdmatiBillFreundRubenLeeYacobAmihudStuartGabrielCharlesLeeJimAngelAnnGilletteBruceLehmannGailBelonskyTomGilliganKenLehnHankBessembinderLarryGlosten
