Trades, Quotes and Prices | Buch

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Cover: 9781107156050 | Trades, Quotes and Prices | Jean-Philippe Bouchaud (u. a.) | Buch

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Sprache: Englisch

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Beschreibung

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.

Über den Autor

Jean-Philippe Bouchaud is a pioneer in Econophysics. He co-founded the company Science and Finance in 1994, which later merged with Capital Fund Management (CFM) in 2000. In 2007 he was appointed as an adjunct Professor at École Polytechnique, where he teaches a course on complex systems. His work focuses on the physics of disordered and glassy systems, granular materials, the statistics of price formation, stock market fluctuations and the modelling of financial risks. He was awarded the Centre national de la recherche scientifique (CNRS) Silver Medal in 1995, the Risk Quant of the Year Award in 2017 and is the co-author along with Marc Potters of Theory of Financial Risk and Derivative Pricing (Cambridge,2009).

Inhaltsverzeichnis

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.

Erscheinungsjahr:	2018
Fachbereich:	Volkswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Seiten:	464
Inhalt:	Gebunden
ISBN-13:	9781107156050
ISBN-10:	110715605X
Sprache:	Englisch
Ausstattung / Beilage:	HC gerader Rücken kaschiert
Einband:	Gebunden
Autor:	Bouchaud, Jean-Philippe Bonart, Julius Donier, Jonathan
Hersteller:	Cambridge University Press
Maße:	250 x 175 x 29 mm
Von/Mit:	Jean-Philippe Bouchaud (u. a.)
Erscheinungsdatum:	22.03.2018
Gewicht:	0,976 kg

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