Books like Market Microstructure Theory by Maureen O'Hara

A practical guide to understanding and applying volume-price analysis in trading, authored by Anna Coulling.

The Economics of Information Technology is a concise and accessible review of some of the important economic factors affecting information technology industries. These industries are characterized by high fixed costs and low marginal costs of production, large switching costs for users, and strong network effects. These factors combine to produce some unique behavior. The book consists of two parts. In the first part, Professor Varian outlines the basic economics of these industries. In the second part, Professors Farrell and Shapiro describe the impact of these factors on competition policy. The clarity of the analysis and exposition makes this an ideal introduction for undergraduate and graduate students in economics, business strategy, law and related areas.

Josh Lukeman shares a step‑by‑step day‑trading framework used by Wall Street market makers, covering stock selection, entry and exit tactics, risk control, and real‑world case studies from the technology sector.

Economists have devoted considerable effort to explaining how a market economy functions, but they have given a good deal less attention to explaining how a market economy is formed. In this book, Jean Ensminger analyzes the process by which the market was introduced into the economy of a group of Kenyan pastoralists. She employs new institutional economic analysis to assess the impact of new market institutions on production and distribution, with particular emphasis on the effect of institutions on decreasing transaction costs over time. Having compiled an extraordinary longitudinal data set that tracks a group of households over considerable time, she traces the effects of increasing commercialization on the economic well-being of individual households, rich and poor alike. In addition, employing anthropological methods, she analyzes the process by which institutions themselves are transformed as a market economy develops. Changes in labor relationships, property rights, and the transfer of political authority from the council of elders to the state are considered in particular detail . This case study points out the importance of understanding the roles of ideology and bargaining power - in addition to pure economic forces, such as changing relative prices - in shaping market institutions. The combination of new institutional economic analysis and richly detailed anthropological case study produces a work full of insights that may serve as the basis for a more adequate theory of economic development and social change.

Business Week hailed it as the "bible of market chaologists." Financial Analysts Journal ranked it "among the most provocative financial books of the past few years." With the publication of Chaos and Order in the Capital Markets, Edgar E. Peters won universal acclaim for describing chaos theory for the stock, bond, and commodities markets of the 1990s. Now the most respected author on the subject of chaos theory gives traders and investors everywhere what they've been eagerly awaiting - the first applications-oriented book on using chaos as a sophisticated market analysis tool. In Fractal Market Analysis, Edgar Peters tackles head-on tradition bound capital market theories and asset pricing models that depend on symmetry and smoothness, base their results on regular, periodic market and economic cycles, and seek to explain away as "anomalies" such recurring events as market stampedes and crashes. In its place, the author proposes a new "fractal market hypothesis," which opens a window into the way the financial world actually is, rather than the way we would like it to be. Based on current chaos theory and using fractals - objects whose disparate parts are self-similar and which thrive on market roughness and asymmetry - the book provides a valuable new framework for accurately understanding and precisely modeling the turbulence, discontinuity, and nonperiodicity that truly characterize today's capital markets. Fractal Market Analysis delivers a robust tool for understanding the conflicting market randomness and determinism we experience every trading and investing day. Called "rescaled range (R/S) analysis," it actually thrives on noise, measurement, and volatility, and is free of the mathematical limitations of traditional Gaussian statistics. By following the guide's numerous step-by-step case studies, you'll learn how to apply R/S analysis to your own area of interest - bonds, equities, interest rates, foreign currencies, and gold - to more accurately determine the number and length of both nonperiodic and periodic market and economic cycles to enhance your portfolio selection. Here, finally, is the first professional guide to reconcile the rational, but limited approach of traditional quantitative management with the practical experience of actually dealing with the markets. By merging chaos theory, fractal statistics, and nonlinear dynamic modeling. Fractal Market Analysis leads you to ever-finer levels of market resolution. With it, you'll better understand short- and long-term developments, undertake more precise time series and cycle modeling, and use your conclusions to create realistic market models.

"Macro Trading and Investment Strategies is the first thorough examination of one of the most proficient and enigmatic trading strategies in use today - global macro. More importantly, it introduces an innovative strategy to this popular hedge fund investment style - global macroeconomic arbitrage.". "Dr. Burstein proposes a new global macro strategy that is nondirectional and more objective. The classic global macro strategy utilizes macroeconomic information to anticipate market direction through subjective views. As a result, global macro has a strong subjective-directional component. Based on objective mispricings of macroeconomic information in stock market index and stock sector index spreads, a new long/short arbitrage strategy is presented here that capitalizes on the correction of objective macroeconomic mispricings. These macro arbitrage strategies are evaluated and tested in volatile markets such as the "domino effect" of the global financial crises of 1997-1998 that led to a hedge fund crisis. In fact, the book shows how global financial crises create strong macro arbitrage opportunities while also being a catalyst for correcting preexistent macro mispricings."--BOOK JACKET.

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on liquidity and price discovery.

Financial Economics is a self-contained and comprehensive introduction to the field for advanced undergraduate and postgraduate economists and finance specialists. It develops the main ideas in finance theory, including the CAPM, arbitrage pricing, option pricing, and the Modigliani-Miller theorem within an economic framework. Students of economics are shown how finance theory derives from foundations in economic theory, while students of finance are given a firmer appreciation of the economic logic underlying their favourite results. Financial Economics provides all of the technical apparatus necessary to read the modern literature in financial economics and the economics of financial institutions. The book is self-contained in that the reader is guided through branches of the theory, as necessary, in order to understand the main topics. Numerous examples and diagrams illustrate the key arguments, and the main chapters are followed by guides to the relevant literature and exercises for students.

Explores how the dynamic supply‑and‑demand of a security informs optimal trading strategies, showing that incorporating both discrete and continuous trades can substantially reduce execution costs.