Trades, Quotes and Prices
Trades, Quotes and Prices
Julius Bonart, University College London
Jonathan Donier, Capital Fund Management
Martin Gould, CFM - Imperial Institute of Quantitative Finance
$96.00
USDThe 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.
- Uses recent, high-quality, high-frequency data to illustrate all examples with real empirical results, which enables readers to see and judge all core results for themselves
- Material is presented in an original way, using tools and notions from physics, mathematics and financial mathematics making the text accessible to a wide audience
- A comprehensive overview of modern market microstructure, presented as a cohesive narrative that provides newcomers with a strong introduction to the many relevant topics involved in this discussion
Reviews & endorsements
'Leading physicist and hedge fund manager Jean-Philippe Bouchaud and his co-authors have written an impressive book that no serious student of market microstructure can afford to be without. Simultaneously quantitative and highly readable, Trades, Quotes and Prices presents a complete picture of the topic, from classical microstructure models to the latest research, informed by years of practical trading experience.' Jim Gatheral, Baruch College, City University of New York
'This book describes the dynamics of supply and demand in modern financial markets. It is a beautiful story, full of striking empirical regularities and elegant mathematics, illustrating how the tools of statistical physics can be used to explain financial exchange. This is a tour de force with the square root law of market impact as its climax. It shows how institutions shape human behaviour, leading to a universal law for the relationship between fluctuations in supply and demand and their impact on prices. I highly recommend this to anyone who wants to see how physics has benefited economics, or for that matter, to anyone who wants to see a stellar example of a theory grounded in data.' Doyne Farmer, University of Oxford
'This is a masterful overview of the modern and rapidly developing field of market microstructure, from several of its creators. The emphasis is on simple models to explain real and important features of markets, rather than on sophisticated mathematics for its own sake. The style is narrative and illustrative, with extensive references to more detailed work. A unique feature of the book is its focus on high-frequency data to support the models presented. This book will be an essential resource for practitioners, academics, and regulators alike.' Robert Almgren, New York University and Quantitative Brokers
Product details
April 2018Hardback
9781107156050
460 pages
253 × 178 × 25 mm
1.05kg
79 b/w illus. 7 tables
Available
Table of Contents
- 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
- Index.
