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Market Microstructure Theory
Our Price: $39.15 Prices subject to change.
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Binding: Paperback
Dewey Decimal Number: 332
EAN: 9780631207610
ISBN: 0631207619
Label: Wiley
Manufacturer: Wiley
Number Of Items: 1
Number Of Pages: 304
Publication Date: March 13, 1998
Publisher: Wiley
Studio: Wiley
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Editorial Review:
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.
Customer Reviews
Average Rating: 
Rating: - Good review of current literature
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. If you are interested in microstructure and want a good review of current models, this book is for you.
Rating: - A good book, if you are prepared for it.
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 ... Read More
Rating: - A classic in market microstructure theory
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, ... Read More
Rating:  - The Bible of market microstructure theory
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 ... Read More
Rating: - A Counter Point
This book does not need praise. It is widely considered the best introduction to the academic work in market microstructure. The only reason I've listed this review is to counter the unfortunate review already listed. This book is perfect for the researcher or PhD student interested in the issues addressed in market microstructure. Although the book is not written for the average mba student, a careful read would benefit anyone interested in the structure of markets.
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