Trades, Quotes and Prices - Financial Markets Under the MicroscopePevná vazba
Trades, Quotes and Prices - Financial Markets Under the MicroscopePevná vazba The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. In…
Specifikacia Trades, Quotes and Prices - Financial Markets Under the MicroscopePevná vazba
Trades, Quotes and Prices - Financial Markets Under the MicroscopePevná vazba
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. 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. 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.
All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. Throughout this journey, data is king. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on