Market Microstructure Theory

* Provides a unified exposition and examination of the major models and theories used in market microstructure.
* Extensive examination and discussion of information-based models with emphasis on linkage with rational expectations model and learning models.
* Explains how the main theoretical models work, the benefits and weaknesses of each model, the evolution of the literature, and the issues still un-addressed.
* Concluding chapters focus on price dynamics and applications of the various models to specific microstructure problems. Extensive appendices developing Bayesian learning and the rational expectations framework