Market Microstructure Theory by Maureen O'HaraMarket Microstructure Theory by Maureen O'Hara

Market Microstructure Theory

byMaureen O'Hara, O'hara

Paperback | March 6, 1998

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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.
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 Reco...
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Title:Market Microstructure TheoryFormat:PaperbackDimensions:300 pages, 9 × 6 × 0.62 inPublished:March 6, 1998Publisher:Wiley

The following ISBNs are associated with this title:

ISBN - 10:0631207619

ISBN - 13:9780631207610

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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.

From Our Editors

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 of specific microstructure problems including liquidity, multimarket trading, market structure, and market design. Market Microstructure Theory includes extensive appendices developing Bayesian learning and the rational expectations framework