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.
General
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