Trades, Quotes and Prices
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Trades, Quotes and Prices

Financial Markets Under the Microscope
 Buch
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ISBN-13:
9781107156050
Einband:
Buch
Erscheinungsdatum:
01.04.2018
Seiten:
444
Autor:
Jean-Philippe Bouchaud
Gewicht:
1052 g
Format:
254x177x27 mm
Sprache:
Englisch
Beschreibung:

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.
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 bidâ¿"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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