这篇论文好像比较早。我看《金融市场微观结构理论》戴国强，上海财经大学，上面提到过这篇paper

金融市场微观结构理论的确切内涵和范围是什么？我想请教下大家！

还有没有更多，更完整，更系统的的文献资料，我打算做这方面的研究！

我在本版上传过近80篇工作论文，还有一篇外国博士论文。仔细找找。

You can visit Professor Joel Hasbrouck's website for some detailed information. He teaches market microstructure semenar (PhD level) at Stern. You can downloard his lecture notes with programming examples using mathematic.

http://pages.stern.nyu.edu/~jhasbrou/Empirical%20Market%20Microstructure/Index%20Microstructure.html