Trades, Quotes and Prices

- Financial Markets Under the Microscope

af


Trades, Quotes and Prices
  • Leveringstid 4-7 hverdage
  • Forventet levering 17-12-2019
  • Kan leveres før jul
Format:
Bog, hardback
Udgivelsesdato:
22-03-2018
Sprog:
Engelsk
  • Beskrivelse
  • Yderligere info
  • Anmeldelser

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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E-bog, ePub

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Udgivelsesdato:
22-03-2018
ISBN13:
9781107156050
Vægt:
1050 g
Dybde:
25 mm
Bredde:
178 mm
Højde:
253 mm
Format:
Hardback
  • Forfattere

  • Bibliotekernes beskrivelse

    For decades, discussions of financial markets have primarily centred on prices. In this book for practitioners, researchers and advanced students, the authors present an alternative approach - the microstructure approach - by considering the micro-scale actions of individual traders, and addressing many long-standing questions regarding market fairness, stability, and optimal trading. 7 Tables, black and white; 39 Halftones, black and white; 40 Line drawings, black and white

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