The Microstructure of Financial Markets - Hardcover

De Jong, Frank; Rindi, Barbara

Hardcover

ISBN 10: 0521867843 ISBN 13: 9780521867849

Publisher: Cambridge University Press, 2009

Synopsis

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.

About this title

Book Description

The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure. With numerous end-of-chapter exercises and a companion website, the book is ideally suited for students taking graduate courses in finance as well as being a useful reference for practitioners.

About the Author

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, aging and retirement.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2009
• ISBN 10: 0521867843
• ISBN 13: 9780521867849
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 210