The Microstructure of Financial Markets

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  • Edition: 1st
  • Format: Paperback
  • Copyright: 2009-05-25
  • Publisher: Cambridge University Press
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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 figuresp. vi
List of tablesp. vii
Prefacep. ix
Introductionp. 1
Institutions and market structurep. 7
Financial market equilibriump. 32
Batch markets with strategic informed tradersp. 52
Dealer markets: information-based modelsp. 69
Inventory modelsp. 80
Empirical models of market microstructurep. 91
Liquidity and asset pricingp. 116
Models of the limit order bookp. 127
Price discoveryp. 159
Policy issues in financial market structurep. 180
Indexp. 197
Table of Contents provided by Ingram. All Rights Reserved.

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