For decades, discussions of financial markets have primarily centred on prices. In this book for practitioners, researchers and advanced students, the authors present an alternative approach - the microstructure approach - by considering the micro-scale actions of individual traders, and addressing many long-standing questions regarding market fairness, stability, and optimal trading.
For decades, discussions of financial markets have primarily centred on prices. In this book for practitioners, researchers and advanced students, the authors present an alternative approach - the microstructure approach - by considering the micro-scale actions of individual traders, and addressing many long-standing questions regarding market fairness, stability, and optimal trading.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
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).
Inhaltsangabe
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.
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.
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