The Microstructure of Financial Markets

by Frank de Jong , Barbara Rindi

• ISBN13: 9780521687270
• ISBN10: 0521687276
• Edition: 1st
• Format: Paperback
• Copyright: 2009-05-25
• Publisher: Cambridge University Press

Summary

The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.

Author Biography

Frank de Jong is Professor of Financial Markets and Risk Management at Tilburg University. He is also a senior research fellow and program coordinator at Netspar, an independent network for research and education in the field of pensions, ageing and retirement. Barbara Rindi is Associate Professor of Economics at Boccon University in Milan. She is also a fellow of the Innocenzo Gasparini Institute for Economic Research (IGIER) and of the Center for Applied Research in Finance (CAREFIN).

Table of Contents

List of figures	p. vi
List of tables	p. vii
Preface	p. ix
Introduction	p. 1
Institutions and market structure	p. 7
Financial market equilibrium	p. 32
Batch markets with strategic informed traders	p. 52
Dealer markets: information-based models	p. 69
Inventory models	p. 80
Empirical models of market microstructure	p. 91
Liquidity and asset pricing	p. 116
Models of the limit order book	p. 127
Price discovery	p. 159
Policy issues in financial market structure	p. 180
Index	p. 197
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