Trades, Quotes and Prices : Financial Markets Under the Microscope Hardback
by Jean-Philippe Bouchaud, Julius (University College London) Bonart, Jonathan Donier, Martin Gould
Hardback
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Description
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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In Stock - Less than 10 copies availableFree UK DeliveryEstimated delivery 2-3 working days
- Format:Hardback
- Pages:460 pages, 7 Tables, black and white; 39 Halftones, black and white; 40 Line drawings, black and whi
- Publisher:Cambridge University Press
- Publication Date:22/03/2018
- Category:
- ISBN:9781107156050
Other Formats
- EPUB from £56.94
- PDF from £56.94
Information
-
In Stock - Less than 10 copies availableFree UK DeliveryEstimated delivery 2-3 working days
- Format:Hardback
- Pages:460 pages, 7 Tables, black and white; 39 Halftones, black and white; 40 Line drawings, black and whi
- Publisher:Cambridge University Press
- Publication Date:22/03/2018
- Category:
- ISBN:9781107156050