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Market Microstructure Theory

3.85  ·  Rating Details ·  13 Ratings  ·  1 Review
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.
Paperback, 300 pages
Published March 6th 1998 by Wiley (first published April 13th 1995)
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Wangshan Lu
Aug 08, 2016 Wangshan Lu rated it it was ok
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 ...more
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Maureen O'Hara is an American financial economist.

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