The Microstructure of Financial Markets

ISBN-13: 9780521687270 / Angielski / Miękka / 2009 / 210 str.

Frank de Jong

Opis

The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure.

Recenzje

'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

Spis treści

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.