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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.
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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.
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First Sentence
Market microstructure is the study of the process and outcomes of exchanging assets under explicit trading rules. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Market microstructure is the study of the process and outcomes of exchanging assets under explicit trading rules. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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10 reviews
13 of 14 people found the following review helpful
The Bible of market microstructure theory
12 Oct 2000
Format:Hardcover
This is the quintessential book on the theory of the microstructure of financial markets. Although it is not meant for people with just a casual interest in the area, it is nevertheless an indispensable book for academics and for people serious about the topic.
It is also far more readable and understandable than Daniel Spurber's book which provides little of the working intuition of O'Hara. In fact Spurber is meant more for the theoretical economist with an interest in market microstructure, whereas O'Hara appeals to a broader audience in the field of finance.
5 of 5 people found the following review helpful
A classic in market microstructure theory
24 Oct 2004
Format:Paperback
I do not imagine a faculty of management's library without this book avalailable for M.Sc. and Ph.D. students.
As opposed to another reviewer, I really liked the structure. Starting with inventory problems, then dealing with asymetric information and finally going thru agent's strategic behavior; you get the big picture regarding the main issues in market microstructure.
Maybe a bit more detail and explanations on the derivation of some basic models would have been more value added. Unfortunately, you must move on to the original published academic paper to get a fully understanding of any particular model. You cannot rely exclusively on the book.
As opposed to another reviewer, I really liked the structure. Starting with inventory problems, then dealing with asymetric information and finally going thru agent's strategic behavior; you get the big picture regarding the main issues in market microstructure.
Maybe a bit more detail and explanations on the derivation of some basic models would have been more value added. Unfortunately, you must move on to the original published academic paper to get a fully understanding of any particular model. You cannot rely exclusively on the book.
7 of 8 people found the following review helpful
A good book, if you are prepared for it.
9 Oct 2005
Format:Paperback
If you are serious about learning Market Microstructure this book is a great preview to reading the actual papers. It gives you enough intuition that you can approach classic papers by Stoll, Glosten and Milgrom, Easley and O'Hara, Kyle, etc.
Also, you do not need a serious knowledge of the subject matter to open this book (although it helps to have an undergraduate level investments class under your belt). However, finance prerequisites aside, you should be prepared with a fairly thorough knowledge of microeconomics and statistics. A semester or two at a good graduate economics program should do the trick. Otherwise, this can be a tough read.
Also, you do not need a serious knowledge of the subject matter to open this book (although it helps to have an undergraduate level investments class under your belt). However, finance prerequisites aside, you should be prepared with a fairly thorough knowledge of microeconomics and statistics. A semester or two at a good graduate economics program should do the trick. Otherwise, this can be a tough read.
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