Market Microstructure Theory

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.

Foreword. 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.