Google full text of our books:


Information and Learning in Markets:
The Impact of Market Microstructure
Xavier Vives

Paperback | 2010 | $64.00 | ($44.80) / £43.95 | (£30.77) | ISBN: 9780691145969
424 pp. | 6 x 9 | 25 line illus.
Add to Shopping Cart

eBook | ISBN: 9781400829507 |
Our eBook editions are available from these online vendors

graduation-capTextbooks & e-Inspections for Professors

Reviews | Table of Contents
Chapter 1[PDF] pdf-icon | Chapter 7 [PDF] pdf-icon

Google full text of this book:

Lecture slides for chapter 4
Lecture slides for chapter 6
Lecture slides for chapter 8
Lecture slides for chapter 9


The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures.

Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices.

  • Provides the most complete analysis of the ways markets aggregate information
  • Bridges the gap between the rational expectations and herding literatures
  • Includes exercises with solutions
  • Serves both as a graduate textbook and a resource for researchers, including financial analysts


"[R]eading Professor Vives's prose was a joy. His explanations for why various results obtain are clear and the flow from model to model is natural. Results in later chapters are frequently related to results in earlier chapters, tying the whole book together. . . . [I]t is an excellent reference."--Lawrence R. Glosten, Journal of Economic Literature

"Written in a simple and easy to understand language and providing an intuitive analysis of sophisticated models, this work can be a valuable reference for graduate courses in financial economics and microeconomics. Also, being thought-provoking, I find this book to be excellent reading material for researchers who work in both the asset pricing and market microstructure areas."--Leon Zolotoy, Economic Record


"When and how well do markets aggregate information spread among rational participants? Xavier Vives offers the first unified treatment of all major answers, some from his own recent research, to these important questions. Relying on elementary methods and linear-quadratic models, he succeeds in conveying even to the nonspecialist reader the essence of the most sophisticated results."--Bernard Lebrun, York University

"Thoughtful and persuasive. The book is ambitious in its scope. It will be a reference for PhD-level courses in microeconomics, financial economics, and some parts of industrial organization. This is an important book."--Hyun Song Shin, Princeton University

Table of Contents

This book has been translated into:

  • Chinese (Simplified)

Subject Areas:

Shopping Cart:

  • For ebooks:

Our eBook editions are available
from these online vendors:

  • Amazon Kindle Store
  • Apple iBooks
  • Barnes & Noble Nook Store
  • Google Play eBook Store
  • Intel Education Study eBook Store
  • Kobo eBook Store
  • Many of our ebooks are available through
    library electronic resources including these platforms:

  • Books at JSTOR
  • Ebrary
  • Ebook Library
  • EBSCO Ebooks
  • MyiLibrary
  • Dawsonera (UK)

  • For hardcover/paperback orders in United States, Canada, Latin America, Asia, and Australia

     Paperback $64.00 | ($44.80) ISBN: 9780691145969

    Add to shopping cart
    View contents of your shopping cart

    For hardcover/paperback orders in Europe, Africa, the Middle East, India, and Pakistan

     Paperback £43.95 | (£30.77) ISBN: 9780691145969

    Add to shopping cart
    View contents of your shopping cart


    Textbooks: Need textbooks? View our textbook site.

    Teaching Professors: To request an electronic inspection copy for course use consideration,
    please click on: magnifyingProfessors free on-line inspection access (All requests will be validated before access is granted).

    Online exam copies are also available through this e-vendor:

  • CourseSmart®

  • Prices subject to change without notice

    File created: 9/19/2015

    Questions and comments to:
    Princeton University Press

    fall saleFall Book Sale
    New Book E-mails
    New In Print
    PUP Blog
    Princeton APPS
    Sample Chapters
    Princeton Legacy Library
    Exam/Desk Copy
    Recent Awards
    Princeton Shorts
    Freshman Reading
    PUP Europe
    About Us
    Contact Us
    PUP Home

    Bookmark and Share
    Send me emails
    about new books in:
    More Choices