Market Microstructure Theory

by Maureen O'Hara

Overview

Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.

Product Details

ISBN-13:	9780631207610
Publisher:	Wiley
Publication date:	03/06/1998
Edition description:	Revised ed.
Pages:	304
Product dimensions:	6.00(w) x 9.00(h) x 0.62(d)
Age Range:	18 Years

About the Author

Maureen O'Hara is the Robert W. Purcell Professor of Finance at the Johnson Graduate School of Management at Cornell University. She holds a Ph. D. in Finance from North-western University. Professor O'Hara has also taught at the London Business School and the University of California at Los Angeles. She received the Young Scholar Recognition Award from the American Association of University Women in 1986. She is a director of both the American Finance Association and the Western Finance Association. Professor O'Hara is the co-editor of the Journal of Financial Intermediation and is an associate editor at numerous finance journals.

Table of Contents

About the Author v

Foreword ix

1. Markets and Market-Making 1

2. Inventory Models 15

3. Information-Based Models 53

4. Strategic Trader Models I: Informed Traders 89

5. Strategic Trader Models II: Uninformed Traders 129

6. Information and the Price Process 153

7. Market Viability and Stability 179

8. Liquidity and the Relationships between Markets 215

9. Issues in Market Performance 251

References 273

Index 283

Editorial Reviews

Analyzes the development of microstructure theory from the initial inventory models through the information-based and game-theoretic paradigms of recent research. Explains how the main theoretical models work, the evolution of the literature, and the strengths and weaknesses of each approach. Covers strategic trader models based on informed and uninformed traders, information and the price process, market viability and stability, and liquidity and the relationship between markets. Annotation c. Book News, Inc., Portland, OR (booknews.com)

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