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The Microstructure of Financial Markets


  • Date Published: May 2009
  • availability: Available
  • format: Paperback
  • isbn: 9780521687270

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About the Authors
  • 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.

    • 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
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    Reviews & endorsements

    'Thoughtful, clear and rigorous, this book offers an in-depth unified treatment of market microstructure, combining description of institutions with presentation of analytical models along with empirical methods and results. This comprehensive survey ranges from seminal contributions to latest research. It will be a reference not just for advanced graduate courses in finance and economics but also for scholars and industry practitioners. This is the book we have long needed in order to understand and master the advances in research and trading innovations that have taken place over the last thirty years.' Bruno Biais, Toulouse University

    '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

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    Product details

    • Date Published: May 2009
    • format: Paperback
    • isbn: 9780521687270
    • length: 210 pages
    • dimensions: 247 x 173 x 11 mm
    • weight: 0.42kg
    • contains: 1 b/w illus. 17 tables
    • availability: Available
  • Table of Contents

    List of figures
    List of tables
    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

  • Resources for

    The Microstructure of Financial Markets

    Frank de Jong, Barbara Rindi

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  • Instructors have used or reviewed this title for the following courses

    • American Industry
    • Financial Market Microstructure
    • Market Microstructure
    • Microstructure Seminar
    • Stochastc Modelling of Microstructure of Markets
    • Topics in Finance
  • Authors

    Frank de Jong, Universiteit van Tilburg, The Netherlands
    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, Università Commerciale Luigi Bocconi, Milan
    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.

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