Market Microstructure Hans R.Stoll Owen Graduate School of Management Vanderbilt University Nashville,TN 37203 Hans.Stoll@Owen.Vanderbilt.edu Financial Markets Research Center Working paper Nr.01-16 First draft:July 3,2001 This version:May 6,2002 For Handbook of the Economics of FinanceMarket Microstructure Hans R. Stoll Owen Graduate School of Management Vanderbilt University Nashville, TN 37203 Hans.Stoll@Owen.Vanderbilt.edu Financial Markets Research Center Working paper Nr. 01- 16 First draft: July 3, 2001 This version: May 6, 2002 For Handbook of the Economics of Finance