Jean-Philippe Bouchaud, Julius Bonart (University College London), Jonathan Donier
Trades, Quotes and Prices
Jean-Philippe Bouchaud, Julius Bonart (University College London), Jonathan Donier
Trades, Quotes and Prices
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- Produkterinnerung
- Produkterinnerung
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.
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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.
Produktdetails
- Produktdetails
- Verlag: Cambridge University Press
- Seitenzahl: 464
- Erscheinungstermin: 22. März 2018
- Englisch
- Abmessung: 250mm x 175mm x 29mm
- Gewicht: 954g
- ISBN-13: 9781107156050
- ISBN-10: 110715605X
- Artikelnr.: 49088013
- Verlag: Cambridge University Press
- Seitenzahl: 464
- Erscheinungstermin: 22. März 2018
- Englisch
- Abmessung: 250mm x 175mm x 29mm
- Gewicht: 954g
- ISBN-13: 9781107156050
- ISBN-10: 110715605X
- Artikelnr.: 49088013
Jean-Philippe Bouchaud is a pioneer in Econophysics. He co-founded the company Science and Finance in 1994, which later merged with Capital Fund Management (CFM) in 2000. In 2007 he was appointed as an adjunct Professor at École Polytechnique, where he teaches a course on complex systems. His work focuses on the physics of disordered and glassy systems, granular materials, the statistics of price formation, stock market fluctuations and the modelling of financial risks. He was awarded the Centre national de la recherche scientifique (CNRS) Silver Medal in 1995, the Risk Quant of the Year Award in 2017 and is the co-author along with Marc Potters of Theory of Financial Risk and Derivative Pricing (Cambridge,2009).
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.
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.