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Trades, Quotes and Prices Vital Source e-bog
Jean-Philippe Bouchaud
(2018)
Cambridge University Press
942,00 kr.
Leveres umiddelbart efter køb
Trades, Quotes and Prices Vital Source e-bog
Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier og Martin Gould
(2018)
Cambridge University Press
753,00 kr.
Leveres umiddelbart efter køb
Trades, Quotes and Prices
Financial Markets under the Microscope
Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier og Martin Gould
(2018)
Sprog: Engelsk
Cambridge University Press
999,00 kr.
Print on demand. Leveringstid vil være ca 2-3 uger.
Detaljer om varen
- Vital Source searchable e-book (Fixed pages)
- Udgiver: Cambridge University Press (Marts 2018)
- ISBN: 9781108639064
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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Bookshelf online: 5 år fra købsdato.
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Bookshelf online: 5 år fra købsdato.
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Detaljer om varen
- Vital Source 180 day rentals (fixed pages)
- Udgiver: Cambridge University Press (Marts 2018)
- Forfattere: Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier og Martin Gould
- ISBN: 9781108639064R180
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.
Licens varighed:
Online udgaven er tilgængelig: 180 dage fra købsdato.
Offline udgaven er tilgængelig: 180 dage fra købsdato.
Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: -1 sider kan printes ad gangen
Copy: højest -1 sider i alt kan kopieres (copy/paste)
Online udgaven er tilgængelig: 180 dage fra købsdato.
Offline udgaven er tilgængelig: 180 dage fra købsdato.
Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: -1 sider kan printes ad gangen
Copy: højest -1 sider i alt kan kopieres (copy/paste)
Detaljer om varen
- Hardback: 460 sider
- Udgiver: Cambridge University Press (Marts 2018)
- Forfattere: Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier og Martin Gould
- ISBN: 9781107156050
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.
Preface;
Part I. How and Why Do Prices Move?:
1. The ecology of financial markets;
2. The statistics of price changes: an informal primer;
Part II. Limit Order Books: Introduction:
3. Limit order books;
4. Empirical properties of limit order books;
Part III. Limit Order Books: Models:
5. Single-queue dynamics: simple models;
6. Single-queue dynamics for large-tick stocks;
7. Joint-queue dynamics for large-tick stocks;
8. The Santa Fe model for limit order books;
Part IV. Clustering and Correlations:
9. Time clustering and Hawkes processes;
10. Long-range persistence of order flow;
Part V. Price Impact:
11. The impact of market orders;
12. The impact of metaorders;
Part VI. Six Market Dynamics at the Micro-scale:
13. The propagator model;
14. Generalised propagator models;
Part VII. Adverse Selection and Liquidity Provision:
15. The Kyle model;
16. The determinants of the bid-ask spread;
17. The profitability of market making;
Part VIII. Market Dynamics at the Meso-scale:
18. Latent liquidity and Walrasian auctions;
19. Impact dynamics in a continuous-time double auction;
20. The information content of prices;
Part IX. Practical Consequences:
21. Optimal execution;
22. Market fairness and stability;
23. Appendices; Index.
Part I. How and Why Do Prices Move?:
1. The ecology of financial markets;
2. The statistics of price changes: an informal primer;
Part II. Limit Order Books: Introduction:
3. Limit order books;
4. Empirical properties of limit order books;
Part III. Limit Order Books: Models:
5. Single-queue dynamics: simple models;
6. Single-queue dynamics for large-tick stocks;
7. Joint-queue dynamics for large-tick stocks;
8. The Santa Fe model for limit order books;
Part IV. Clustering and Correlations:
9. Time clustering and Hawkes processes;
10. Long-range persistence of order flow;
Part V. Price Impact:
11. The impact of market orders;
12. The impact of metaorders;
Part VI. Six Market Dynamics at the Micro-scale:
13. The propagator model;
14. Generalised propagator models;
Part VII. Adverse Selection and Liquidity Provision:
15. The Kyle model;
16. The determinants of the bid-ask spread;
17. The profitability of market making;
Part VIII. Market Dynamics at the Meso-scale:
18. Latent liquidity and Walrasian auctions;
19. Impact dynamics in a continuous-time double auction;
20. The information content of prices;
Part IX. Practical Consequences:
21. Optimal execution;
22. Market fairness and stability;
23. Appendices; Index.
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