Market Microstructure Theory

Informationen zum Autor Maureen O'Hara PhD is Professor of Psychology, National University, USA; President Emerita, Saybrook University, San Francisco; and Director, International Futures Forum-US. She is a licensed psychotherapist in practice for over three decades and worked closely with Carl R. Rogers in La Jolla, California - facilitating encounter groups, large group events and training psychotherapists in many countries. Her recent work explores the present and potential future impacts of global cultural shifts on psychological development and emotional wellbeing. Books include Em busca da vida, with C.R. Rogers, J.K. Wood and A. Fonseca (Summus,1983); Ten Things To Do In A Conceptual Emergency, with G. Leicester (Triarchy, 2009); and the Handbook of Person-Centered Psychotherapy and Counselling with M. Cooper, P. Schmid and G. Wyatt (Palgrave Macmillan, 2008). Klappentext 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. Zusammenfassung 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. Inhaltsverzeichnis About the Author v Foreword ix 1. Markets and Market-Making 1 2. Inventory Models 15 3. Information-Based Models 53 4. Strategic Trader Models I: Informed Traders 89 5. Strategic Trader Models II: Uninformed Traders 129 6. Information and the Price Process 153 7. Market Viability and Stability 179 8. Liquidity and the Relationships between Markets 215 9. Issues in Market Performance 251 References 273 Index 283 ...

Texte du rabat

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.

Contenu

About the Author v

Foreword ix

1. Markets and Market-Making 1

2. Inventory Models 15

3. Information-Based Models 53

4. Strategic Trader Models I: Informed Traders 89

5. Strategic Trader Models II: Uninformed Traders 129

6. Information and the Price Process 153

7. Market Viability and Stability 179

8. Liquidity and the Relationships between Markets 215

9. Issues in Market Performance 251

References 273

Index 283