- Paperback: 300 pages
- Publisher: Wiley; 1 edition (March 6, 1998)
- Language: English
- ISBN-10: 0631207619
- ISBN-13: 978-0631207610
- Product Dimensions: 6 x 0.6 x 9 inches
- Shipping Weight: 1 pounds (View shipping rates and policies)
- Average Customer Review: 11 customer reviews
- Amazon Best Sellers Rank: #410,307 in Books (See Top 100 in Books)
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Market Microstructure Theory 1st Edition
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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:
- 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.
Top customer reviews
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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.
A lifetime of brilliant research is condensed into this book. Those who dismiss it because it is theoretically sound and rigurous will be punished when that same theory they didn't care to understand plays with their portfolio.
I'm glad to say that this book saved my day on May 6th 2010, the same day when Goldman Sachs, Bank of America, Morgan Stanley and many others lost hundreds of millions of dollars. Additional proof that this book is today more relevant than ever.
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.
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.
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.