Market Microstructure Theory

by Maureen O'Hara

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.

Genres: Finance

304 pages, Paperback

First published April 13, 1995

About the author

Maureen O'Hara is an American financial economist.

Librarian’s note: There is more than one author in the Goodreads database with this name.

Reviews

[Niranjana Sundararajan]

Too pedantic. Not enough motivation to get through it

[Lu Wangshan · Rating 2 out of 5]

I had high hopes for this book, but I got much less than I had hoped. For a "theory" book, one would already have expected that there would be some detachment from the real world - the industry. Usually a useful theory although omits a lot of minor details, in large it should still try to capture a significant portion of the characteristics of the subject. This book though failed to do so, the theory usually based on some much too idealized view of the real market, and omitted significant detail that actually renders the model wrong in the second or millisecond level scale. For me it is far more important to get some semi usable result from a more realistic model than a clean mathematical result from a unrealistically simplified one.

Structure-wise, I often felt very hard to understand the point the author makes. Often, the author would list a bunch of research that other people already did, it may be related but there often was no concrete point being made.

I would not recommend this book to any serious practitioners that want to get some real insights from several days of reading.