Market Microstructure Theory / Edition 1

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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.

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Editorial Reviews

Booknews
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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Product Details

  • ISBN-13: 9780631207610
  • Publisher: Wiley
  • Publication date: 3/28/1998
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 300
  • Sales rank: 1,302,702
  • Product dimensions: 6.00 (w) x 9.00 (h) x 0.70 (d)

Meet 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.

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Table of Contents

About the Author
Foreword
Ch. 1 Markets and Market Making 1
Ch. 2 Inventory Models 13
Ch. 3 Information-Based Models 53
Ch. 4 Strategic Trader Models I: Informed Traders 89
Ch. 5 Strategic Trader Models II: Uninformed Traders 129
Ch. 6 Information and the Price Process 153
Ch. 7 Market Viability and Stability 179
Ch. 8 Liquidity and the Relationships Between Markets 215
Ch. 9 Issues in Market Performance 251
References 273
Index 283
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