Trades, Quotes and Prices: Financial Markets Under The Microscope
By: and and and
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- Synopsis
-
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem.
In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability.
Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq.
By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Uses recent, high-quality, high-frequency data to illustrate all examples with real empirical results, which enables readers to see and judge all core results for themselves.
Material is presented in an original way, using tools and notions from physics, mathematics and financial mathematics making the text accessible to a wide audience.
A comprehensive overview of modern market micro-structure, presented as a cohesive narrative that provides newcomers with a strong introduction to the many relevant topics involved in this discussion.
- Copyright:
- 2018
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9781316998885
- Related ISBNs:
- 9781107156050, 9781107156050
- Publisher:
- Cambridge University Press
- Date of Addition:
- 06/16/18
- Copyrighted By:
- Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Business and Finance, Social Studies
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
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