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9781557864437

Market Microstructure Theory

by
  • ISBN13:

    9781557864437

  • ISBN10:

    1557864438

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 1995-04-06
  • Publisher: Wiley

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Summary

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.

Author Biography

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

Foreword
Markets and Market-Making
Inventory Models
Information-Based Models
Strategic Trader Models I: Informed Traders
Strategic Trader Models II: Uninformed Traders
Information and the Price Process
Market Viability and Stability
Liquidity and the Relationships between Markets
Issues in Market Performance
Table of Contents provided by Publisher. All Rights Reserved.

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