Reddit reviews Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading

Trading and Exchanges by Larry Harris is probably the best. It tends to lean toward Equities, but many of the concepts (market participants; economics; etc) are universal to all assets. The market structure itself tends to deviate for other assets, but this should give you enough of a baseline to know what else to search for if you want to go deeper down the rabbit hole.

Second may be Empirical Market Microstructure by Joel Hasbrouck.

If you want something on more exotic asset types (STIRs or such) let me know.

What part of finance are you interested in?

Asset pricing?

• Asset Pricing - Cochrane
  
• Dynamic Asset Pricing Theory - Duffie
  
  Corporate Finance?
  
  
• Theory of Corporate Finance - Tirole
  
• Theoretical Foundations of Corporate Finance - Matos
  
  Behavioral Finance?
  
  
• Inefficient Markets - Schleifer
  
  Financial Econometrics?
  
  
• The Econometrics of Financial Markets - Campbell, Lo, Mackinlay
  
• Analysis of Financial Time Series - Tsay
  
  Market Microstructure?
  
  
• Market Microstructure Theory - O'Hara
  
• Empirical Market Microstructure - Hasbrouck

Try /r/algotrading they have an decent sidebar.

I would also suggest:

An Introduction to Analysis of Financial Data with R by Tsay

Analysis of Financial Time Series, again by Tsay

Algorithmic Trading and DMA by Johnson

Empirical Market Microstructure by Hasbrouck

Sounds like market microstructure. I don't know anyone working on the topics you mention specifically, but Maureen O'Hara at Cornell is a guru on MM. There is also this book on Empirical Market Microstructure and a survey paper by Biais, Glosten, and Spatt that might provide references for some of the areas you're interested in.