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Market Microstructure Theory, by Maureen O'Hara
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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.
- Sales Rank: #317148 in Books
- Published on: 1998-03-06
- Released on: 1998-01-29
- Original language: English
- Number of items: 1
- Dimensions: 9.00" h x .62" w x 6.00" l, 1.01 pounds
- Binding: Paperback
- 300 pages
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.
Most helpful customer reviews
1 of 1 people found the following review helpful.
Not an easy read, but a wealth of information
By Marc
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.
1 of 1 people found the following review helpful.
Really nice book!
By Maria Chaderina
Perfect to review material from various papers, very good for initial introduction to the field, very nice for systematizing the material!
3 of 3 people found the following review helpful.
A classic
By Peter B. Lerner
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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