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Cover: 9780521687270 | The Microstructure of Financial Markets | Frank De Jong (u. a.) | Buch
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The Microstructure of Financial Markets
Taschenbuch von Frank De Jong (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor
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.
Zusammenfassung
The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure. With numerous end-of-chapter exercises and a companion website, the book is ideally suited for students taking graduate courses in finance as well as being a useful reference for practitioners.
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2015
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
ISBN-13: 9780521687270
ISBN-10: 0521687276
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: De Jong, Frank
Rindi, Barbara
Hersteller: Cambridge University Press
Maße: 244 x 170 x 12 mm
Von/Mit: Frank De Jong (u. a.)
Erscheinungsdatum: 31.07.2015
Gewicht: 0,372 kg
Artikel-ID: 101645313
Über den Autor
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.
Zusammenfassung
The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure. With numerous end-of-chapter exercises and a companion website, the book is ideally suited for students taking graduate courses in finance as well as being a useful reference for practitioners.
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2015
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
ISBN-13: 9780521687270
ISBN-10: 0521687276
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: De Jong, Frank
Rindi, Barbara
Hersteller: Cambridge University Press
Maße: 244 x 170 x 12 mm
Von/Mit: Frank De Jong (u. a.)
Erscheinungsdatum: 31.07.2015
Gewicht: 0,372 kg
Artikel-ID: 101645313
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