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Market Microstructure Theory

Market Microstructure Theory
Author: Maureen O'Hara
ISBN 13: 9780631207610
ISBN 10: 631207619
Edition: 1
Publisher: Wiley
Publication Date: 1998-03-06
Format: Paperback
Pages: 300
List Price: $39.95

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.


Analyzes the development of microstructure theory from the initial inventory models through the information-based and game-theoretic paradigms of recent research. Explains how the main theoretical models work, the evolution of the literature, and the strengths and weaknesses of each approach. Covers strategic trader models based on informed and uninformed traders, information and the price process, market viability and stability, and liquidity and the relationship between markets. Annotation c. Book News, Inc., Portland, OR (booknews.com)