Trades Quotes and Prices

Trades  Quotes and Prices

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

Author: Jean-Philippe Bouchaud

Publisher: Cambridge University Press

ISBN: 9781107156050

Category: Business & Economics

Page: 463

View: 817

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

Market Microstructure In Practice Second Edition

Market Microstructure In Practice  Second Edition

Order submission strategies, liquidity supply, and trading in pennies on the new york stock exchange. ... Market impacts and the life cycle of investors orders. ... Trades, Quotes and Prices: Financial Markets Under the Microscope.

Author: Laruelle Sophie

Publisher: World Scientific

ISBN: 9789813231146

Category: Business & Economics

Page: 368

View: 546

This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the"Flash Crash" of 2010 are also analyzed in depth. Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently. This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation). As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms. In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure. Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms. Contents: Monitoring the Fragmentation at Any ScaleUnderstanding the Stakes and the Roots of FragmentationOptimal Organizations for Optimal TradingAppendix A: Quantitative AppendixAppendix B: Glossary Readership: Graduate and research students of financial markets and quantitative finance, Regulators and policy makers, practitioners. Keywords: Market Microstructure;Finance;Financial Markets;Market Liquidity;Financial Regulation;MiFID;Reg NMS;ESMAReview: Reviews of the First Edition: “Lehalle and Laruelle bring [their] experience to bear on every aspect of the discussion, as well as deep quantitative understanding. The resulting book is a unique mixture of real market knowledge and theoretical explanation. There is nothing else out there like it, and this book will be a central resource for many different market participants.” Robert Almgren President and Cofounder of Quantitative Brokers, New York “Charles' and Sophie's book on markets microstructure will improve our knowledge and consequently help us to tweak these potentiometers. In promoting better education, this book is at the roots of restoring trust in the markets.” Philippe Guillot Executive Director, Markets Directorate Autorité des marchés financiers (AMF), Paris “This book pro
Categories: Business & Economics

Financial Market Bubbles and Crashes

Financial Market Bubbles and Crashes

Princeton, NJ: Princeton University Press. Bouchaud, J-P., Bonart, J., Donier, J., and Gould, M. (2018). Trades, Quotes and Prices: Financial Markets Under the Microscope. New York: Cambridge University Press. Bourke, P. (1998).

Author: Harold L. Vogel

Publisher: Springer Nature

ISBN: 9783030791827

Category: Business & Economics

Page: 619

View: 537

Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Categories: Business & Economics

Quantitative Portfolio Management

Quantitative Portfolio Management

Market microstructure2,3 studies how exchange rules and different kinds of trade orders affect price formation. Market impact is a serious ... Quotes and Prices. Financial Markets Under the Microscope, Cambridge University Press, 2018.

Author: Michael Isichenko

Publisher: John Wiley & Sons

ISBN: 9781119821212

Category: Business & Economics

Page: 304

View: 239

Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.
Categories: Business & Economics

Multi Agent Based Simulation XXII

Multi Agent Based Simulation XXII

We have also shown that MAXE is suitable for applications beyond the study of financial markets, as we used it to ... Bouchaud, J.P., Bonart, J., Donier, J., Gould, M.: Trades, Quotes and Prices: Financial Markets Under the Microscope.

Author: Koen H. Van Dam

Publisher: Springer Nature

ISBN: 9783030945480

Category: Computers

Page: 195

View: 260

This book constitutes the thoroughly refereed post-conference proceedings of the 21st International Workshop on Multi-Agent-Based Simulation, MABS 2021, held in May 2021 as part of AAMAS 2021. The conference was held virtually due to COVID 19 pandemic. The 14 revised full papers included in this volume were carefully selected from 23 submissions. The workshop focused on finding efficient solutions to model complex social systems, in such areas as economics, management, organizational and social sciences in general. In all these areas, agent theories, metaphors, models, analysis, experimental designs, empirical studies, and methodological principles, all converge into simulation as a way of achieving explanations and predictions, exploration and testing of hypotheses, better designs and systems and providing decision-support in a wide range of applications.
Categories: Computers

Digital Finance in Europe Law Regulation and Governance

Digital Finance in Europe  Law  Regulation  and Governance

34 For references, see Jean-Philippe Bouchaud/Julius Bonart/Jonathan Donier/Martin Gould, Trades, Quotes and Prices: Financial Markets under the Microscope (CUP 2018), 243 – 244; Bence Tóth/Yves Lemperiere/Cyril Deremble/Joachim de ...

Author: Emilios Avgouleas

Publisher: Walter de Gruyter GmbH & Co KG

ISBN: 9783110749519

Category: Law

Page: 291

View: 939

Global finance is in the middle of a radical transformation fueled by innovative financial technologies. The coronavirus pandemic has accelerated the digitization of retail financial services in Europe. Institutional interest and digital asset markets are also growing blurring the boundaries between the token economy and traditional finance. Blockchain, AI, quantum computing and decentralised finance (DeFI) are setting the stage for a global battle of business models and philosophies. The post-Brexit EU cannot afford to ignore the promise of digital finance. But the Union is struggling to keep pace with global innovation hubs, particularly when it comes to experimenting with new digital forms of capital raising. Calibrating the EU digital finance strategy is a balancing act that requires a deep understanding of the factors driving the transformation, be they legal, cultural, political or economic, as well as their many implications. The same FinTech inventions that use AI, machine learning and big data to facilitate access to credit may also establish invisible barriers that further social, racial and religious exclusion. The way digital finance actors source, use, and record information presents countless consumer protection concerns. The EU’s strategic response has been years in the making and, finally, in September 2020 the Commission released a Digital Finance Package. This special issue collects contributions from leading scholars who scrutinize the challenges digital finance presents for the EU internal market and financial market regulation from multiple public policy perspectives. Author contributions adopt a critical yet constructive and solutions-oriented approach. They aim to provide policy-relevant research and ideas shedding light on the complexities of the digital finance promise. They also offer solid proposals for reform of EU financial services law.
Categories: Law

Investing Online For Dummies

Investing Online For Dummies

Online investing 101 — get an overview of everything you need to know about online investing, from deciding what kind of investor you want to be to familiarizing yourself with personal finance software Boot up — find out how to get your ...

Author: Matt Krantz

Publisher: For Dummies

ISBN: 0470769262

Category: Business & Economics

Page: 432

View: 104

Categories: Business & Economics

Investing Online For Dummies

Investing Online For Dummies

Online investing 101 — get an overview of everything you need to know about online investing, from deciding what kind of investor you want to be to familiarizing yourself with personal finance software Boot up — find out how to get your ...

Author: Matthew Krantz

Publisher: John Wiley & Sons

ISBN: 9780470909539

Category: Business & Economics

Page: 466

View: 369

Straightforward advice on investing online wisely with the most updated information available If you're eager to take control of your investments but don't want to make it your full-time job, Investing Online For Dummies, 7th Edition will put you on your way. Completely updated to cover all the newest online tools and resources, this easy-to-understand guide gets you started with investing online and growing your online portfolio using the latest tools, information, and resources available. You'll learn to pick winning stocks, find an online broker, construct a profitable portfolio, research investment data online, and what considerations to take into account when making key decisions. Addresses critical issues for beginner investors, such as setting reasonable expectations, figuring out how much to invest, assessing how much risk is appropriate, and picking an online broker Pinpoints a variety of Web sites, online calculators, databases, and online communities that will help you make beneficial decisions Delves into using online tools to calculate returns and risk, selecting mutual funds with online databases, analyzing stocks and financial statements, and buying bonds online You'll quickly see the profits of the straightforward and fun online investing advice contained within Investing Online For Dummies, 7th Edition!
Categories: Business & Economics

Risk

Risk

They might trade on some , and over the course of the day their institutions will record a selection – market open and close , high and low , and quotes and prices at which they transacted . But the majority of the torrent of data ...

Author:

Publisher:

ISBN: CORNELL:31924083381750

Category: Risk management

Page:

View: 344

Categories: Risk management

Journal of Empirical Finance

Journal of Empirical Finance

Bid , ask and transaction prices in a specialist market with heterogeneously informed traders . ... London School of Economics , Financial Markets Group , Discussion Paper No. 142 , July . ... From the Bird's Eye to the Microscope ...

Author:

Publisher:

ISBN: UCAL:B4953800

Category: Econometrics

Page: 884

View: 978

Categories: Econometrics