The Microstructure of Financial Markets

by Frank de Jong, Barbara Rindi

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.

Genres: Finance

210 pages, Hardcover

First published May 1, 2009

Reviews

[Suyash Mallik · Rating 5 out of 5]

exactly what I was looking for. I skipped the chapter on price formation, but I'm sure I'm going to be revisiting this book multiple times.

[gekko100 · Rating 1 out of 5]

A sad indictment of the academic community's attempts to illuminate the workings of modern financial markets. You could be forgiven for naively thinking that a book like this should be in some way useful to the practitioner in the field, but you'd be wrong -- damn wrong.

My advice to anyone working in finance thinking this might provide some useful insight: forget it.

My advice to anyone working in academia who may find this book useful in their research: either (a) go and research something worthwhile, or (b) stop dancing around the sidelines and go get a real finance job -- in your current vocation you aren't really helping anyone.

The working thesis that emerges from my efforts to plow through this book (which I abandoned after chapter 2): the one job more parasitic and unhelpful to society than working in the finance industry is being an academic trying to study what goes on in financial markets.