Maureen O'Hara - Market Microstructure Theory (1998)
Joel Hasbrouck - Empirical market microstructure USA (2004)
Maureen O'Hara, Marcos Lopez de Prado, David Easley - High-frequency (2013)
这三本教材十分经典,学习这三本书是研究市场微观结构和高频计量经济学的必修课。
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本附件包括:
- Joel Hasbrouck - Empirical market microstructure-Oxford University Press, USA (2007).pdf
- Maureen O'Hara - Market Microstructure Theory -Wiley (1998).pdf
- Maureen O'Hara, Maureen O'Hara, Marcos Lopez de Prado, David Easley - High-frequency Trading-Risk Books (2013).pdf