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The Microstructure of Financial Markets: Frank de Jong

This document is a book about the microstructure of financial markets. It contains 10 chapters that cover topics such as financial market institutions and structure, equilibrium models of batch and dealer markets, informed trading strategies, inventory management, empirical models of liquidity and price discovery, and policy issues related to market microstructure. The book provides an in-depth analysis of the micro-level workings and mechanisms of financial markets.

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419 views2 pages

The Microstructure of Financial Markets: Frank de Jong

This document is a book about the microstructure of financial markets. It contains 10 chapters that cover topics such as financial market institutions and structure, equilibrium models of batch and dealer markets, informed trading strategies, inventory management, empirical models of liquidity and price discovery, and policy issues related to market microstructure. The book provides an in-depth analysis of the micro-level workings and mechanisms of financial markets.

Uploaded by

visio2004
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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The Microstructure of Financial Markets

Frank de Jong
and

Barbara Rindi

CAMBRIDGE
UNIVERSITY PRESS

Contents

List of List of tables Preface Introduction 1 2 3 4 5 6 7 8 9

figures

page vi vii ix 1 7 32 52 69 80 91 116 127 159 180 197

Institutions and market structure Financial market equilibrium Batch markets with strategic informed traders Dealer markets: information-based models Inventory models Empirical models of market microstructure Liquidity and asset pricing Models of the limit order book Price discovery

10 Policy issues in financial market structure Index

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