Trades, Quotes and Prices: Financial Markets Under the Microscope
Trades, Quotes and Prices: Financial Markets Under the Microscope
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交易、报价和价格：显微镜下的金融市场
DOI：
10.1017/9781316659335
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
M. Gould
中科院分区：
文献类型：
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作者：
J. Bouchaud;J. Bonart;Jonathan Donier;M. Gould
高质量、高频数据的广泛可用性，彻底改变了对金融市场的研究。这些丰富的信息不仅描述了资产价格，还描述了市场参与者的行为和互动，为了解金融生态系统的内部运作提供了一扇新的窗口。在这本原著中，作者讨论了金融市场的经验事实，并引入了广泛的模型，从个体订单到达的微观尺度机制到市场稳定的新兴宏观尺度问题。在整个过程中，数据为王。所有讨论都牢牢扎根于真实股票的经验行为，所有模型都使用纳斯达克（Nasdaq）的最新数据进行校准和评估。通过将理论与经验事实相结合，这本书为实践者、研究人员和高级学生提供了一个新鲜的、新的、经常令人惊讶的视角，探讨了各种各样的主题，如最优交易、价格影响、流动性的脆弱性，甚至人们交易的原因。
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.