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Market Microstructure Theory

ISBN: 978-0-631-20761-0
300 pages
March 1998
Market Microstructure Theory (0631207619) cover image


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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Table of Contents


1. Markets and Market-Making.

2. Inventory Models.

3. Information-Based Models.

4. Strategic Trader Models I: Informed Traders.

5. Strategic Trader Models II: Uninformed Traders.

6. Information and the Price Process.

7. Market Viability and Stability.

8. Liquidity and the Relationships between Markets.

9. Issues in Market Performance.

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Author Information

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.
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The Wiley Advantage

* 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
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