MTH 9879 Market Microstructure Models 2011-10-25T15:45:24+00:00

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