MTH 9879 Market Microstructure Models

Downloads:

  • Syllabus (Fall 2011)
  • Homeworks: HW1;
  • Instructor: Jim Gatheral
  • Textbooks:
      1. Market Microstructure Theory by Maureen O’Hara, Wiley, 1998
        Empirical Market Microstructure by Joel Hasbrouck, Oxford, 2007