Market Microstructure Theory (Paperback, New Ed)

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.

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