Trades, Quotes and Prices

Financial Markets Under the Microscope

by Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould

Subject categories
ISBNs
  • 9781107156050
  • 9781108639064
  • 9781316998885
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.

  • Cambridge University Press; March 2018
  • ISBN: 9781108639064
  • Read online, or download in secure PDF or secure ePub format
  • Title: Trades, Quotes and Prices
  • Author: Jean-Philippe Bouchaud; Julius Bonart; Jonathan Donier; Martin Gould
  • Imprint: Cambridge University Press
Subject categories
ISBNs
  • 9781107156050
  • 9781108639064
  • 9781316998885

In The Press

'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. Simultaneously quantitative and highly readable, Trades, Quotes and Prices presents a complete picture of the topic, from classical microstructure models to the latest research, informed by years of practical trading experience.' Jim Gatheral, Baruch College, City University of New York

Subject categories
ISBNs
  • 9781107156050
  • 9781108639064
  • 9781316998885