Market Microstructure Theory

Rating:
Summary: A classic in market microstructure theory
Review: I do not imagine a faculty of management's library without this book avalailable for M.Sc. and Ph.D. students.
As opposed to another reviewer, I really liked the structure. Starting with inventory problems, then dealing with asymetric information and finally going thru agent's strategic behavior; you get the big picture regarding the main issues in market microstructure.
Maybe a bit more detail and explanations on the derivation of some basic models would have been more value added. Unfortunately, you must move on to the original published academic paper to get a fully understanding of any particular model. You cannot rely exclusively on the book.

Rating:
Summary: Lacks in both organization and clarity .
Review: The book is meant to describe market microstructure. My discovery is that one needs to know a lot about the subject matter to get anything out of it. I had the feeling of reading footnotes without seeing the text! It quotes authors and papers without the slightest indication as to what they are about. I do not recommend it. But there are other books covering the subject. Campbell, Lo and McKinlay (The Econometrics of Financial Markets) proovides in one chapter more information that this book. FInally, there is a French book on the topic that is excellent; it would call for a translation (the authors are Biais,Foucault & Hillion).

Rating:
Summary: The Bible of market microstructure theory
Review: This book does not need praise. It is widely considered the best introduction to the academic work in market microstructure. The only reason I've listed this review is to counter the unfortunate review already listed. This book is perfect for the researcher or PhD student interested in the issues addressed in market microstructure. Although the book is not written for the average mba student, a careful read would benefit anyone interested in the structure of markets.

Rating:
Summary: A Counter Point
Review: This book does not need praise. It is widely considered the best introduction to the academic work in market microstructure. The only reason I've listed this review is to counter the unfortunate review already listed. This book is perfect for the researcher or PhD student interested in the issues addressed in market microstructure. Although the book is not written for the average mba student, a careful read would benefit anyone interested in the structure of markets.

Rating:
Summary: The Bible of market microstructure theory
Review: This is the quintessential book on the theory of the microstructure of financial markets. Although it is not meant for people with just a casual interest in the area, it is nevertheless an indispensable book for academics and for people serious about the topic.

It is also far more readable and understandable than Daniel Spurber's book which provides little of the working intuition of O'Hara. In fact Spurber is meant more for the theoretical economist with an interest in market microstructure, whereas O'Hara appeals to a broader audience in the field of finance.