Trades, Quotes and Prices

Trades, Quotes and Prices pdf epub mobi txt 电子书 下载 2025

出版者:Cambridge University Press
作者:Jean-Philippe Bouchaud
出品人:
页数:492
译者:
出版时间:2018-3-22
价格:GBP 59.99
装帧:Hardcover
isbn号码:9781107156050
丛书系列:
图书标签:
  • 金融 
  • 高频交易 
  • 交易 
  • HFT 
  •  
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he 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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