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Market Microstructure Theory Hardcover – April 6, 1995
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From the Back Cover
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:
- Multi-market trading.
- Market structure.
- Market Design Market Microstructure Theory includes extensive appendices developing Bayesian learning and the rational expectations framework.
About the Author
Top Customer Reviews
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.
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.
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.
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.
Most Recent Customer Reviews
High frequency trading involves a deep understanding about the dynamics of the double auction book, how orders are being placed in the queue, the probability of being filled, etc. Read morePublished on August 30, 2010 by Martul
Perfect to review material from various papers, very good for initial introduction to the field, very nice for systematizing the material!Published on August 15, 2008 by Maria Chaderina
This book is probably best for someone with some formal economics or mathematics training. Or at least a reader with a strong interest in this field. Read morePublished on March 26, 2008 by Joshua Reich
This book does not need praise. It is widely considered the best introduction to the academic work in market microstructure. Read morePublished on July 1, 2000 by Clark Massey