Market Microstructure Theory / Edition 1

Market Microstructure Theory / Edition 1

by Maureen O'Hara, O'Hara
     
 

ISBN-10: 0631207619

ISBN-13: 9780631207610

Pub. Date: 01/28/1998

Publisher: Wiley

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.

After an introduction to the general issues and problems in market microstructure, the book examines the main theoretical models developed to address inventory-based issues. There is then

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.

After an introduction to the general issues and problems in market microstructure, the book examines the main theoretical models developed to address inventory-based issues. There is then an extensive examination and discussion of the information-based models, with particular attention paid to the linkage with rational expectations model and learning models. The concluding chapters are concerned with price dynamics and with applications of the various models to specific microstructure problems including:

  • Liquidity.
  • Multi-market trading.
  • Market structure.
  • Market Design Market Microstructure Theory includes extensive appendices developing Bayesian learning and the rational expectations framework.

Product Details

ISBN-13:
9780631207610
Publisher:
Wiley
Publication date:
01/28/1998
Edition description:
New Edition
Pages:
300
Product dimensions:
6.00(w) x 9.00(h) x 0.70(d)
Age Range:
18 Years

Table of Contents

Foreword.

1. Markets and Market-Making.

2. Inventory Models.

3. Information-Based Models.

4. Strategic Trader Models I: Informed Traders.

5. Strategic Trader Models II: Uninformed Traders.

6. Information and the Price Process.

7. Market Viability and Stability.

8. Liquidity and the Relationships between Markets.

9. Issues in Market Performance.

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