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Trades, quotes and prices : financial markets under the microscope

Author: Jean-Philippe Bouchaud; Julius Bonart
Publisher: New York : Cambridge University Press, 2018.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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
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Genre/Form: Electronic books
Additional Physical Format: Electronic reproduction of (manifestation):
Bouchaud, Jean-Philippe, 1962-
Trades, quotes and prices.
New York : Cambridge University Press, 2018
(DLC) 2017049401
(OCoLC)1007304022
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jean-Philippe Bouchaud; Julius Bonart
ISBN: 9781316659335 131665933X
OCLC Number: 1029059338
Description: 1 online resource
Contents: 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.
Responsibility: Jean-Philippe Bouchaud, Capital Fund Management, Paris, Julius Bonart, University College London, Jonathan Donier, Spotify, Martin Gould, Spotify.

Abstract:

For decades, discussions of financial markets have primarily centred on prices. In this book for practitioners, researchers and advanced students, the authors present an alternative approach - the  Read more...

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'Leading physicist and hedge fund manager Jean-Philippe Bouchaud and his co-authors have written an impressive book that no serious student of market microstructure can afford to be without. Read more...

 
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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\"--<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\nschema:description<\/a> \"\"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. 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