Trades, Quotes and Prices: Financial Markets Under the Microscope

The availability of high-quality, high-frequency data has revolutionized the study of financial markets, offering a new window into the inner workings of the financial ecosystem. This book discusses empirical facts and introduces models calibrated and evaluated using recent data from Nasdaq, providing a fresh perspective on topics such as optimal trading, price impact, liquidity, and trading behavior.

\n Format: Hardback
\n Length: 460 pages
\n Publication date: 22 March 2018
\n Publisher: Cambridge University Press
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The availability of high-quality, high-frequency data has transformed the study of financial markets. This wealth of information provides a unique insight into the inner workings of the financial ecosystem, encompassing not only asset prices but also the actions and interactions of market participants. In this original text, the authors delve into empirical facts of financial markets and introduce a diverse range of models, spanning from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data assumes a paramount role. All discussions are firmly grounded in the empirical behavior of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By challenging theory with empirical facts, this book serves as a valuable resource for practitioners, researchers, and advanced students. It offers a fresh, new, and often surprising perspective on topics such as optimal trading, price impact, the fragile nature of liquidity, and the motivations behind trading behavior.

The availability of high-quality, high-frequency data has transformed the study of financial markets.

This wealth of information provides a unique insight into the inner workings of the financial ecosystem, encompassing not only asset prices but also the actions and interactions of market participants.

In this original text, the authors delve into empirical facts of financial markets and introduce a diverse range of models, spanning from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability.

Throughout this journey, data assumes a paramount role. All discussions are firmly grounded in the empirical behavior of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq.

By challenging theory with empirical facts, this book serves as a valuable resource for practitioners, researchers, and advanced students. It offers a fresh, new, and often surprising perspective on topics such as optimal trading, price impact, the fragile nature of liquidity, and the motivations behind trading behavior.

\n Weight: 1042g\n
Dimension: 180 x 253 x 27 (mm)\n
ISBN-13: 9781107156050\n \n