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The Microstructure of Financial Markets Paperback – 14 May 2009

4.5 out of 5 stars 4 ratings
Edition: 1st

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Product details

  • Publisher : Cambridge University Press; 1st edition (14 May 2009)
  • Language : English
  • Paperback : 210 pages
  • ISBN-10 : 0521687276
  • ISBN-13 : 978-0521687270
  • Dimensions : 17.3 x 1.09 x 24.69 cm
  • Customer Reviews:
    4.5 out of 5 stars 4 ratings

Product description

Review

'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

Book Description

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

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5.0 out of 5 stars Five Stars
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3.0 out of 5 stars A good textbook
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