Coverage of a dynamic area of research combining both the
theory and empirics of market microstructure ? Introduces students
to the most important models and shows how they can be applied ?
Includes numerous exercises and solutions with downloadable data to
allow hands-on application
內容簡介：
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.
關於作者：
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.
目錄：
List of figures
List of tables
Preface
Introduction
1. Institutions and market structure
2. Financial market equilibrium
3. Batch markets with strategic informed traders
4. Dealer markets: information-based models
5. Inventory models
6. Empirical models of market microstructure
7. Liquidity and asset pricing
8. Models of the limit order book
9. Price discovery
10. Policy issues in financial market structure
Index
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