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Market Microstructure Theory Maureen O'Hara
Publisher: Wiley

Filtering and wavelets and Fourier. For example, many concepts in market microstructure must become part of the core toolkit of finance. The head of the center, Professor Moez Bennouri, studies market microstructure, IPOs, banking, auction theory and experimental economics. Known as a foremost expert in derivative contract valuation and risk management, and for his knowledge of market microstructure and volatility, he has written eight books and scores of articles. Her research and teaching spans securities markets, corporate finance, and corporate governance. I believe I have learned the time series analysis quite well, so it might be wise to read the book by O'Hara if it's suitable for a first read on market microstructure theory? Market Microstructure Theory 2. Econometric Analysis, by Greene: classic text on theoretical econometrics. Published Cambridge Market microstructure theory / Maureen O'Hara. - Wavelet Methods for Time Series Analysis, by Percival and Walden: standard theoretical text on wavelets. Market microstructure : intermediaries and the theory of the firm / Daniel F.