1 Introduction -- 2 Trading Mechanisms on Financial Markets -- 2.1 Typology of Security Markets -- 2.2 Market Participants and Institutional Setup on the NYSE -- 3 Sequential Trade Models -- 3.1 Market Microstructure Theory -- 3.2 Microstructure Models of the Black Box under Asymmetric Information -- 3.3 The Basic Sequential Trade Model -- 3.4 Extensions -- 3.5 Estimation of Structural Models -- 3.6 Results of Previous Studies -- 4 Econometric Analysis of Sequential Trade Models -- 4.1 The EKOP Model and Finite Mixture Models -- 4.2 Model Evaluation and Specification Testing -- 4.3 Mixture and Regime Switching Models in Econometrics -- 5 Empirical Results -- 5.1 The TAQ Database -- 5.2 The Trade Direction -- 5.3 Descriptive Statistics -- 5.4 Estimation Results -- 6 Conclusions -- A.l The Poisson Process -- A.2 Maximum Likelihood Estimation of a Multivariate Poisson Mixture Model -- A.3 The EM-Algorithm -- A.4 The Poisson Regression Model -- A.5 The Negative Binomial Regression Model -- A.6 Moments of Mixture Distributions -- A.7 Unobserved Individual Variation of Trade Arrival Rates -- A.8 Markov Chains -- A.9 The Smoothing Algorithm -- A.1O Estimation of Transition Probabilities in the Markov Switching Model -- A.11 Moments of the Dependent Variable in a Markov Switching Model -- References -- List of Figures -- List of Tables.