Description

Book Synopsis
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.

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

Market Microstructure Theory

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    A Paperback / softback by Maureen O'Hara

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      Publisher: John Wiley & Sons Inc
      Publication Date: 19/11/1997
      ISBN13: 9780631207610, 978-0631207610
      ISBN10: 0631207619
      Also in:
      Business, Finance & Law Economic theory and philosophy Investment and securities

      Description

      Book Synopsis
      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.

      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

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