书目详细信息
： Trades, quotes and prices :
书目信息 机读格式(MARC)
| ISBN： | 9781107156050 |
|---|---|
| ISBN： | 110715605X |
| 编目源： | DLC DLC OCLCF NLE EYM YDX |
| 个人名称： | Bouchaud, Jean-Philippe,1962- |
| 题名： | Trades, quotes and prices : financial markets under the microscope / Jean-Philippe Bouchaud, Capital Fund Management, Paris, Julius Bonart, University College London, Jonathan Donier, Capital Fund Management, Paris & University Paris 6, Martin Gould, CFM-Imperial Institute of Quantitative Finance. |
| 索书号： | F830.9/B753E |
| 载体形态： | xvii, 444 pages : illustrations ; 26 cm |
| 书目附注： | Includes bibliographical references and index. |
| 格式化内容附注： | Part I. How and why do prices move? -- The ecology of financial markets -- The statistics of price changes: an informal primer -- Part II. Limit order books: introduction -- Limit order books -- Empirical properties of limit order books -- Part III. Limit order books: models -- Single-queue dynamics: simple models -- Single-queue dynamics for large-tick stocks -- Joint-queue dynamics for large-tick stocks -- The Santa Fe model for limit order books -- Part IV. Clustering and correlations -- Time clustering and Hawkes processes -- Long-range persistence of order flow -- Part V. Price impact -- The impact of market orders -- The impact of metaorders -- Part VI. Market dynamics at the micro-scale -- The propagator model -- Generalised propagator models -- Part VII. Adverse selection and liquidity provision -- The Kyle model -- The determinants of the bid-ask spread -- The profitability of market-making -- Part VIII. Market dynamics at the meso-scale -- Latent liquidity and Walrasian auctions -- Impact dynamics in a continuous-time double auction -- The information content of prices -- Part IX. Practical consequences -- Optimal execution -- Market fairness and stability. |