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.
Book Details:
- Author: Maureen O’Hara
- ISBN: 9780631207610
- Year Published: 1998
- Pages: 300
- BISAC: BUS001040, BUSINESS & ECONOMICS/Accounting / Managerial
About the Book and Topic:
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.
* Provides a unified exposition and examination of the major models and theories used in market microstructure. * Extensive examination and discussion of information-based models with emphasis on linkage with rational expectations model and learning models. * Explains how the main theoretical models work, the benefits and weaknesses of each model, the evolution of the literature, and the issues still un-addressed. * Concluding chapters focus on price dynamics and applications of the various models to specific microstructure problems. Extensive appendices developing Bayesian learning and the rational expectations framework
About 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.