The Microstructure of Financial Markets - Softcover

De Jong, Frank

Softcover

ISBN 10: 0521687276 ISBN 13: 9780521687270

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

About the Authors

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.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2009
• Language: English
• ISBN 10: 0521687276
• ISBN 13: 9780521687270
• Binding: Paperback
• Edition number: 1
• Number of pages: 210