Market Microstructure Theory
IntermediateAny horizonBookTestable with your data
The classic textbook on inventory and information models of price formation (Kyle, Glosten-Milgrom and descendants) in one place.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- Any horizon
- Data needed
- None to read it; no dataset required Set what data you have
- Themes
- Microstructure
- Assets
- Equities
- Market
- Global