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Department of Mathematics
Baruch College/CUNY

One Bernard Baruch Way, New York, NY 10010

Tel: 646-312-4110
CUNY

MTH 9879 Market Microstructure Models

Downloads:

  • Syllabus (Fall 2011)
  • Homeworks: HW1;Instructor: : Jim Gatheral

    Textbook:

      Textbooks:
      Market Microstructure Theory by Maureen O’Hara, Wiley, 1998
      Empirical Market Microstructure by Joel Hasbrouck, Oxford, 2007