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The Microstructure of Financial Markets Hardback (Quantitative Methods for Appli) de de Jong,Rindi
Descripción - Críticas '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 Reseña del editor 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. Descripción del libro 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. Biografía del 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.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.
Detalles del Libro
- Name: The Microstructure of Financial Markets Hardback (Quantitative Methods for Appli)
- Autor: de Jong,Rindi
- Categoria: Libros,Libros universitarios y de estudios superiores,Negocios y finanzas
- Tamaño del archivo: 11 MB
- Tipos de archivo: PDF Document
- Descargada: 637 times
- Idioma: Español
- Archivos de estado: AVAILABLE
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The Microstructure of Financial Markets ~ Contents List of figures page vi List of tables vii Preface ix Introduction 1 1 Institutions and market structure 7 2 Financial market equilibrium 32 3 Batch markets with strategic informed traders 52 4 Dealer markets: information-based models 69 5 Inventory models 80 6 Empirical models of market microstructure 91 7 Liquidity and asset pricing 116 8 Models of the limit order book 127
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Microstructure of Financial Markets - 金融学（理论版） - 经管之家(原人大经济论坛) ~ Microstructure of Financial Markets,The Microstructure of Financial MarketsFrank de Jong - Universiteit van Tilburg, Barbara Rindi - Università Commerciale Luigi Bocconi, MilanPublished May 2009 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 .