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Cambridge University Press Trades, Quotes and Prices: Financial Markets Under the Microscope

Name: Trades, Quotes and Prices: Financial Markets Under the Microscope
Brand: Cambridge University Press
Price: 63.29 GBP
Availability: InStock

Econometrics

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Description

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.

Product Specifications

Brand: Cambridge University Press
Format: hardcover
ASIN: 110715605X
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 22 March 2018
Listed Since: 14 August 2017

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Cambridge University Press Trades, Quotes and Prices: Financial Markets Under the Microscope

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