Trades, quotes and prices : financial markets under the microscope / Jean-Philippe Bouchaud (Capital Fund Management, Paris), Julius Bonart (University College London), Jonathan Donier (Capital Fund Management, Paris & University Paris 6), Martin Gould (CFM-Imperial Institute of Quantitative Finance)

Von:

Bouchaud, Jean-Philippe, 1962- [VerfasserIn]

Mitwirkende(r):

Resource type: Ressourcentyp: BuchBuchSprache: Englisch Verlag: Cambridge, United Kingdom ; New York, NY ; Port Melbourne, Australia ; New Delhi, India ; Singapore : Cambridge University Press, 2018Beschreibung: xvii, 444 Seiten : Illustrationen, DiagrammeISBN:

9781107156050

Schlagwörter:

Andere physische Formen: Erscheint auch als: Trades, quotes and prices. Online-Ausgabe Cambridge : Cambridge University Press, 2018. 1 Online-Ressource (xvii, 444 pages)DDC-Klassifikation:

332.64 23

RVK: RVK: QK 620LOC-Klassifikation:

HG4523

Zusammenfassung: Klappentext: "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."Zusammenfassung: Machine generated contents note: 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; IndexCall number: Grundsignatur: 2018 E 1049PPN: PPN: 1010670034

Exemplare ( 1 )

Exemplare
Medientyp	Heimatbibliothek	Signatur	Status	Fälligkeitsdatum	Barcode	Vormerkungen
Handbibliothek	Fakultät für Wirtschaftswissenschaften	2018 E 1049	Ausgeliehen Ausleihe und Einsicht nicht möglich	16.04.2038	52278082090

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