From the rear cover
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.
Details
- Title Market Microstructure Theory
- Author Maureen O'Hara
- Binding Hardcover
- Edition Reprint
- Pages 304
- Volumes 1
- Language ENG
- Publisher Wiley, Cambridge, MA
- Date 1995-04-06
- ISBN 9781557864437 / 1557864438
- Weight 1.33 lbs (0.60 kg)
- Dimensions 9.21 x 6.14 x 0.69 in (23.39 x 15.60 x 1.75 cm)
- Library of Congress subjects Securities - Mathematical models, Stock exchanges - Mathematical models
- Library of Congress Catalog Number 94-28078
- Dewey Decimal Code 332.632
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