Market Microstructure Theory
1. Edition February 1995
1995. 304 Pages, Hardcover
ISBN 978-1-55786-443-7 - John Wiley & Sons
Also available as Softcover.
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.
From the contents
1. Markets and Market-Making.
2. Inventory Models.
3. Information-Based Models.
4. Strategic Trader Models I: Informed Traders.
5. Strategic Trader Models II: Uninformed Traders.
6. Information and the Price Process.
7. Market Viability and Stability.
8. Liquidity and the Relationships between Markets.
9. Issues in Market Performance.