Trades, quotes and prices : : financial markets under the microscope | 東京工業大学附属図書館蔵書検索

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Trades, quotes and prices : : financial markets under the microscope / Jean-Philippe Bouchaud [and three others]

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電子ブック

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1 online resource (xvii, 444 p.)

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ISBN:

9781316659335 [131665933X] (: electronic bk)

書誌ID:

EB00000188

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注記:	Title from publisher's bibliographic system (viewed on 26 Feb 2018). 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 a
主題:	Capital market; Futures; Investments; Stocks
言語:	英語

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