Trades, Quotes and Prices

Financial Markets Under the Microscope

Business & Finance, Economics, Econometrics, Nonfiction, Science & Nature, Science, Physics, Mathematical Physics
Cover of the book Trades, Quotes and Prices by Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould, Cambridge University Press
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Author: Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould ISBN: 9781316998885
Publisher: Cambridge University Press Publication: February 28, 2018
Imprint: Cambridge University Press Language: English
Author: Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould
ISBN: 9781316998885
Publisher: Cambridge University Press
Publication: February 28, 2018
Imprint: Cambridge University Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

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