Market Microstructure Theory | 
 enlarge | Author: Maureen O'hara
Publisher: Wiley
Category: Book
List Price: $39.95
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Rating:  7 reviews
Sales Rank: 114621
Media: Paperback
Pages: 304
Number Of Items: 1
Shipping Weight (lbs): 1
Dimensions (in): 9 x 6 x 0.8
ISBN: 0631207619
Dewey Decimal Number: 332
EAN: 9780631207610
ASIN: 0631207619
Publication Date: March 13, 1998
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Product Description
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.
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| Customer Reviews: Read 2 more reviews...
 Really nice book! August 15, 2008
Maria Chaderina (US)
Perfect to review material from various papers, very good for initial introduction to the field, very nice for systematizing the material!
Good review of current literature March 27, 2008
Joshua Reich
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.
A good book, if you are prepared for it. October 9, 2005
Econocomic (Wash U St. Louis)
3 out of 3 found this review helpful
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.
A classic in market microstructure theory October 24, 2004
G. Yanez (Montreal, Quebec Canada)
2 out of 2 found this review helpful
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.
The Bible of market microstructure theory October 12, 2000
10 out of 10 found this review helpful
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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