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Market Microstructure Theory Maureen O'Hara
Publisher: Wiley

Throughout the book examples from empirical studies bridge the gap between the theory and practice of trading. But there are theoretical clues and empirical fingerprints. Analysis of stock trading is an integral part of the theory of market microstructure (market microstructure theory). Abstracts of the funded UHF data have spurred interest in empirical market microstructure and present new and interesting challenges that are essential to comprehend market microstructure, monitor and regulate markets, and conduct risk management. The theoretical clues come from a literature that flourished after the stock market crash of 1987. It is concerned with (1) market structure and design, (2) price formation and discovery, and (3) liquidity and transaction costs. Research proposals on specific topics, including advanced pricing theory; advanced risk management techniques; advanced trading strategies relating to derivative markets; and market microstructure and trade execution. The awarded projects tackle the focused challenges of CDS&E-MSS from diverse subject areas in mathematics and statistics; collectively, they are blended efforts on theory, methodology, application, and software. It is a branch of microeconomic theory that considers markets abstract financial assets. €�This combination of in-depth simulation theory and interaction capability is very unique,” said Dale Rosenthal, assistant professor of finance, who teaches market microstructure and electronic trading classes. [list][*]An introduction to the different types of execution is followed by a review of market microstructure theory.