Jean-Philippe Bouchaud – Trades, Quotes and Prices
Trades, Quotes and Prices
The widespread availability of high-quality, high-frequency knowledge has revolutionised the research of economic markets. By describing not solely asset costs, but in addition market members’ actions and interactions, this wealth of knowledge presents a brand new window into the inside workings of the monetary ecosystem.
Get instantly obtain Jean-Philippe Bouchaud – Trades, Quotes and Prices
On this unique textual content, the authors talk about empirical details of economic markets and introduce a variety of fashions, from the micro-scale mechanics of particular person order arrivals to the emergent, macro-scale problems with market stability. All through this journey, knowledge is king. All discussions are firmly rooted within the empirical behaviour of actual shares, and all fashions are calibrated and evaluated utilizing latest knowledge from Nasdaq. By confronting principle with empirical details, this e-book for practitioners, researchers and superior college students supplies a recent, new, and usually shocking perspective on subjects as numerous as optimum buying and selling, value affect, the delicate nature of liquidity, and even the the reason why individuals commerce in any respect.
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