عنوان

Trades, quotes and prices :

(Number (ISBN

131665933X

(Number (ISBN

9781316659335

Erroneous ISBN

110715605X

Erroneous ISBN

9781107156050

Title Proper

Trades, quotes and prices :

General Material Designation

[Book]

Other Title Information

financial markets under the microscope /

First Statement of Responsibility

Jean-Philippe Bouchaud, Capital Fund Management, Paris, Julius Bonart, University College London, Jonathan Donier, Spotify, Martin Gould, Spotify.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Cambridge University Press,

Date of Publication, Distribution, etc.

2018.

Specific Material Designation and Extent of Item

1 online resource

Text of Note

Includes bibliographical references and index.

Text of Note

Part I. How and why do prices move? -- The ecology of financial markets -- The statistics of price changes: an informal primer -- Part II. Limit order books: introduction -- Limit order books -- Empirical properties of limit order books -- Part III. Limit order books: models -- Single-queue dynamics: simple models -- Single-queue dynamics for large-tick stocks -- Joint-queue dynamics for large-tick stocks -- The Santa Fe model for limit order books -- Part IV. Clustering and correlations -- Time clustering and Hawkes processes -- Long-range persistence of order flow -- Part V. Price impact -- The impact of market orders -- The impact of metaorders -- Part VI. Market dynamics at the micro-scale -- The propagator model -- Generalised propagator models -- Part VII. Adverse selection and liquidity provision -- The Kyle model -- The determinants of the bid-ask spread -- The profitability of market-making -- Part VIII. Market dynamics at the meso-scale -- Latent liquidity and Walrasian auctions -- Impact dynamics in a continuous-time double auction -- The information content of prices -- Part IX. Practical consequences -- Optimal execution -- Market fairness and stability.

0

Text of Note

"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"--

Text of Note

"Trades, Quotes and Prices Financial Markets Under the Microscope 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"--

Title

Trades, quotes and prices.

International Standard Book Number

9781107156050

Capital market.

Futures.

Investments.

Stocks.

Capital market.

Futures.

Investments.

SCIENCE-- Mathematical Physics.

Stocks.

Number

Edition

Class number

Book number

Bouchaud, Jean-Philippe,1962-

Bonart, Julius

Date of Transaction

20200822150115.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y