Trades, Quotes and Prices: Financial Markets Under the Microscope

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 at all.

• Advances in Financial Machine Learning
• Market Microstructure in Practice
• Option Volatility and Pricing: Advanced Trading Strategies and Techniques, 2nd Edition
• The Book of Why: The New Science of Cause and Effect
• Big Debt Crises
• Expected Returns: An Investor's Guide to Harvesting Market Rewards
• The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series)
• The Deep Learning Revolution (The MIT Press)
• Deep Learning with Python
• Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined