The Microstructure of Financial Markets

Research output: Book/ReportBookScientific

Abstract

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.
Original languageEnglish
Place of PublicationCambridge
PublisherCambridge University Press
Number of pages208
ISBN (Print)9780521867849
Publication statusPublished - 2009

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Financial markets
Microstructure
Finance
Transaction costs
Return on investment
Asset pricing models
Web sites
Stock exchange
Trading systems
Price formation
Exercise
Integrated
Economic theory
Empirics
Textbooks
Costs

Cite this

de Jong, F. C. J. M., & Rindi, B. (2009). The Microstructure of Financial Markets. Cambridge: Cambridge University Press.
de Jong, F.C.J.M. ; Rindi, B. / The Microstructure of Financial Markets. Cambridge : Cambridge University Press, 2009. 208 p.
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de Jong, FCJM & Rindi, B 2009, The Microstructure of Financial Markets. Cambridge University Press, Cambridge.

The Microstructure of Financial Markets. / de Jong, F.C.J.M.; Rindi, B.

Cambridge : Cambridge University Press, 2009. 208 p.

Research output: Book/ReportBookScientific

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de Jong FCJM, Rindi B. The Microstructure of Financial Markets. Cambridge: Cambridge University Press, 2009. 208 p.