Description
CAMBRIDGE UNIVERSITY PRESS Trades, Quotes And Prices by Jean-Philippe Bouchaud , Julius Bonart , Jonathan Donier , Martin Gould
The widespread availability of highquality highfrequency 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 microscale mechanics of individual order arrivals to the emergent macroscale 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.