During the 1980s and 1990s, theoretical research in financial economics significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. This timely book provides an invaluable map for students and researchers navigating the literature on market microstructure, and more generally, on equilibrium with asymmetric information. It will become highly recommended reading for graduate courses in the economics of uncertainty and in financial economics. Hyun Song Shin, Professor of Finance at the London School of Economicsr