عنوان

Trades, quotes and prices :

شابک

131665933X

شابک

9781316659335

شابک اشتباه

110715605X

شابک اشتباه

9781107156050

عنوان اصلي

Trades, quotes and prices :

نام عام مواد

[Book]

ساير اطلاعات عنواني

financial markets under the microscope /

نام نخستين پديدآور

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

محل نشرو پخش و غیره

New York :

نام ناشر، پخش کننده و غيره

Cambridge University Press,

تاریخ نشرو بخش و غیره

2018.

نام خاص و کميت اثر

1 online resource

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

"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"--

متن يادداشت

"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"--

عنوان

Trades, quotes and prices.

شماره استاندارد بين المللي کتاب و موسيقي

9781107156050

موضوع مستند نشده

Capital market.

موضوع مستند نشده

Futures.

موضوع مستند نشده

Investments.

موضوع مستند نشده

Stocks.

موضوع مستند نشده

Capital market.

موضوع مستند نشده

Futures.

موضوع مستند نشده

Investments.

موضوع مستند نشده

SCIENCE-- Mathematical Physics.

موضوع مستند نشده

Stocks.

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Bouchaud, Jean-Philippe,1962-

مستند نام اشخاص تاييد نشده

Bonart, Julius

تاريخ عمليات

20200822150115.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y