Market microstructure theory
Author: O'Hara, Maureen Publisher: Blackwell, 1997Language: EnglishDescription: 290 p. ; 23 cm.ISBN: 0631207619Type of document: BookBibliography/Index: Includes index
| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|---|
|
Asia Campus Textbook Collection (PhD) |
HG4515 .O437 1997
(Browse shelf) 900192637 |
Consultation only | 900192637 | |||
|
Asia Campus Textbook Collection (PhD) |
HG4515 .O437 1997
(Browse shelf) 900192644 |
Available | 900192644 |
Includes index
Digitized
Market Microstructure Theory Contents About the Author v Foreword ix Chapter 1 Markets and Market Making 1 1.1 Prices and Markets 3 1.2 The Nature of 'Markets 6 Chapter 2 Inventory Models 13 2.1 Order Arrival and Market Making 14 2.2 The Dealer's Problem 25 2.3 The Intertemporal Role of Inventory 29 2.4 Prices and Inventories in Competitive Markets 44 2.5 Inventory Models and Market Maker Behavior 51 Chapter 3 Information Based Models 53 - 3.1 Informed Traders and Uninformed Traders 53 3.2 The Information Content of Trades 57 3.3 The Glosten-Milgrom Model 58 3.4 Trade Quantities and Price Behavior 66 3.5 Sequential Trade Models and Price Behavior 73 Appendix: Bayesian Learning Models 77 Chapter 4 Strategic Trader Models I: Informed Traders 89 4.1 The Strategic Behavior of an Informed Trader 90 4.2 Price Behavior and Multiple Informed Traders 106 4.3 Strategic Behavior and the Trading Mechanism 113 Appendix: Rational Expectations Models 119 Chapter 5 Strategic Trader Models II: Uninformed Traders 129 5.1 Strategic Behavior and Uninformed Traders 131 5.2 Strategic Behavior and Long-lived Information 140 5.3 Strategic Behavior and Security Returns 143 5.4 The Robustness of Strategic Models 150 Chapter 6 Information and the Price Process 153 6.1 Information and the Sequence of Prices 154 6.2 The Volume Critique 160 6.3 The Role of Time in Price Adjustment 168 Chapter 7 Market Viability and Stability 179 7.1 Information and Market Viability 181 7.2 Order Form and Price Behavior 191 7.3 Policy Issues in Market Structure 205 Chapter 8 Liquidity and the Relationships Between Markets 215 8.1 The Nature of Liquidity 216 8.2 Endogenous Liquidity and Market Performance 223 8.3 Block Trades and Alternative Trading Mechanisms 233 8.4 Information and Multimarket Activity 243 Chapter 9 Issues in Market Performance 251 9.1 Market Transparency 252 9.2 Trader Anonymity 260 9.3 How to Design a Market? 268 References 273 Index 283
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