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Market Microstructure Theory Hardcover – April 6, 1995

4.1 out of 5 stars 10 customer reviews

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Editorial Reviews

From the Back 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.

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.
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Product Details

  • Hardcover: 304 pages
  • Publisher: Wiley (April 6, 1995)
  • Language: English
  • ISBN-10: 1557864438
  • ISBN-13: 978-1557864437
  • Product Dimensions: 6.6 x 1 x 9.4 inches
  • Shipping Weight: 1.5 pounds (View shipping rates and policies)
  • Average Customer Review: 4.1 out of 5 stars  See all reviews (10 customer reviews)
  • Amazon Best Sellers Rank: #2,458,444 in Books (See Top 100 in Books)

Customer Reviews

Top Customer Reviews

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.
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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.
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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.
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Format: Paperback
This year is the fifteenth anniversary of publication of the "Market Microstructure Theory." Since then, many books on the subject appeared, most prominently Hasbrouck's "Empirical Market Microstructure" (2007) for advanced readers and L. Harris' textbook for the first acquaintance with the subject(2002), but none, as yet, can substitute for readability and mathematical presentation of MMT. I had not obtain yet a copy of DeJong's book (2009), which seems interesting in its scope and composition. Even this author published in 2009 his error-ridden and overpriced (not my fault!) book--in which I attempted to organize material appearing since 1995 in a logical sequence--but failed. I give it four stars only because if I give five, where should we put La Divina Comedia and Anna Karenina? But the whole subject of microstructure is in dire need of work summarizing the latest achievements and outlining the failed promises. Nowhere it is as pertinent as in the field of high-frequency trading that did not exist when M. O'Hara wrote her classic.
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Format: Paperback Verified Purchase
I have both an economics and statistics background and I found this a tough read for several reasons.

Economic students would love this book.

Most of my issues are realted to the writing style and presenation of the information. The style is academic and is not a pleasure read by any means. The other issue is that you almost have to read this in order. Some of the formulas are not obvious, and they are explained in one paragraph 100 pages ago, and that is it.

Most of the math is statistics and probability, so if you have a good background in the math then it is not as bad.

The other issue I had with it is the endless references to other papers, yes I know they have to be cited, but I wish there would be more of a background in some of the instances..

So why the 4 stars.. Because there is alot of great information in this for everyone. The appendix on Bayesian is worth getting the book alone. The authors analysis is also priceless.

While at this point the market is full of books cover this subject, and this is probably dated in some aspects, it is still worth the read.

Even if you don't understand the math, the authors coverage of the material and discussion provides valuable insight.
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