Market Microstructure Theory Study Group

Textbooks and Materials

• O'Hara, Market Microstructure Theory
• de Jong, The Microstructure of Financial Markets
• Hasbrouck, Empirical Market Microstructure
• Kissell, Optimal Trading Strategies

• Qiqqa library
  • create account at http://www.qiqqa.com/Register/55494 (This will refer my account!)

Agenda

Introduction and Market Structures

• O'Hara, chapter 1
• de Jong, chapter 1
• Hasbrouck, chapter 1, 2, Appendix

Inventory Models

• O'Hara, chapter 2
• de Jong, chapter 5
• Hasbrouck, chapter 11

Basic Information Models

• O'Hara, chapter 3
• de Jong, chapter 4
• Hasbrouck, chapter 5, 6

Strategic Models

• O'Hara, chapter 3, 4
• de Jong, chapter 3
• Hasbrouck, chapter 7

Empirical Models

• de Jong, chapter 6, 9
• Hasbrouck, chapter 3, 4, 8, 9, 10
• ACD and ACI papers

Limit Order Book Models

• de Jong, chapter 8
• Hasbrouck, chapter 12, 13

Transaction Cost Analysis

• de Jong, chapter 6
• Hasbrouck, chapter 14

Optimal Execution Strategies

• Kissell
• Almgren papers

Market Making Strategies