Market Microstructure in Practice

Market Microstructure in Practice, 2nd Edition, provides a quantitative analysis of modern financial markets following major regulatory developments such as Reg NMS and MiFID. Authors Charles-Albert Lehalle and Sophie Laruelle examine how these shifts altered electronic trading, market design, and participant behavior.

The text investigates the emergence of high-frequency trading and critical events like the 2010 Flash Crash. It balances practical requirements for electronic trading infrastructure with theoretical tools, including entropy measurements for tracking market fragmentation.

Designed for students, regulators, and industry practitioners, the book connects data analysis with fundamental operational processes. It explains the mechanics and design of Smart Order Routing systems and trade scheduling algorithms.