ISBN-10:
0521687276
ISBN-13:
9780521687270
Pub. Date:
05/14/2009
Publisher:
Cambridge University Press
The Microstructure of Financial Markets

The Microstructure of Financial Markets

by Frank de Jong, Barbara Rindi
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Product Details

ISBN-13: 9780521687270
Publisher: Cambridge University Press
Publication date: 05/14/2009
Edition description: New Edition
Pages: 208
Product dimensions: 6.80(w) x 9.60(h) x 0.40(d)

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.

Barbara Rindi is Associate Professor of Economics at Bocconi University in Milan. She is also a researcher for for the Paolo Baffi Centre for Monetary and Financial Economics.

Table of Contents

List of figures vi

List of tables vii

Preface ix

Introduction 1

1 Institutions and market structure 7

2 Financial market equilibrium 32

3 Batch markets with strategic informed traders 52

4 Dealer markets: information-based models 69

5 Inventory models 80

6 Empirical models of market microstructure 91

7 Liquidity and asset pricing 116

8 Models of the limit order book 127

9 Price discovery 159

10 Policy issues in financial market structure 180

Index 197

What People are Saying About This

From the Publisher

"Thoughtful, clear and rigorous, this book offers an in-depth unified treatment of market microstructure, combining description of institutions with presentation of analytical models along with empirical methods and results. This comprehensive survey ranges from seminal contributions to latest research. It will be a reference not just for advanced graduate courses in finance and economics but also for scholars and industry practitioners. This is the book we have long needed in order to understand and master the advances in research and trading innovations that have taken place over the last thirty years." - Bruno Biais, Toulouse University

"Frank de Jong and Barbara Rindi present a clear and accessible discussion of market microstructure. They combine a careful explanation of institutional details together with a clear exposition of theoretical models in a manner that will prove very useful to both Ph.D. level students and MBA level students. Their book is particularly timely because market microstructure, like options pricing, has rapidly moved from the research domain of professors into the real world, where competition among exchanges, measurement of transactions costs, and algorithmic trading all require combining the theory of market microstructure with an understanding of how it works in practice."- Albert S Kyle, Smith Chair Professor of Finance, Robert H Smith School of Business, University of Maryland

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