Trades, quotes and prices: financial markets under the microscope
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| Main Authors: | , , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, United Kingdom ; New York, NY ; Port Melbourne, Australia ; New Delhi, India ; Singapore
Cambridge University Press
2018
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index Hier auch später erschienene, unveränderte Nachdrucke |
| Physical Description: | xvii, 444 Seiten Illustrationen, Diagramme |
| ISBN: | 9781107156050 |
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MARC
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| 245 | 1 | 0 | |a Trades, quotes and prices |b financial markets under the microscope |c Jean-Philippe Bouchaud, Capitel 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 |
| 264 | 1 | |a Cambridge, United Kingdom ; New York, NY ; Port Melbourne, Australia ; New Delhi, India ; Singapore |b Cambridge University Press |c 2018 | |
| 300 | |a xvii, 444 Seiten |b Illustrationen, Diagramme | ||
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| 500 | |a Includes bibliographical references and index | ||
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| 653 | 0 | |a Capital market | |
| 653 | 0 | |a Stocks | |
| 653 | 0 | |a Futures | |
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Record in the Search Index
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| adam_text | Contents
Preface page xiii
Acknowledgements xvii
PART I HOW AND WHY DO PRICES MOVE?
1 The Ecology of Financial Markets 5
1.1 The Rules of Trading 6
1.2 The Ecology of Financial Markets 10
1.3 The Risks of Market-Making 14
1.4 The Liquidity Game 18
1.5 Further Reading 20
2 The Statistics of Price Changes: An Informal Primer 22
2.1 The Random Walk Model 23
2.2 Jumps and Intermittency in Financial Markets 28
2.3 Why Do Prices Move? 33
2.4 Summary and Outlook 36
2.5 Further Reading 37
PART II LIMIT ORDER BOOKS: INTRODUCTION
3 Limit Order Books 44
3.1 The Mechanics of LOB Trading 44
3.2 Practical Considerations 52
3.3 Further Reading 57
4 Empirical Properties of Limit Order Books 58
4.1 Summary Statistics 59
4.2 Intra-day Patterns 59
4.3 The Spread Distribution 62
vii
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148
Contents
4.4 Order Arrivals and Cancellations
4.5 Order Size Distributions
4.6 Volume at the Best Quotes
4.7 Volume Profiles
4.8 Tick-Size Effects
4.9 Conclusion
4.10 Further Reading
PART III LIMIT ORDER BOOKS: MODELS
Single-Queue Dynamics: Simple Models
5.1 The Case for Stochastic Models
5.2 Modelling an Order Queue
5.3 The Simplest Model: Constant Cancellation Rate
5.4 A More Complex Model: Linear Cancellation Rate
5.5 Conclusion
5.6 Further Reading
Single-Queue Dynamics for Large-Tick Stocks
6.1 Price-Changing Events
6.2 The Fokker-Planck Equation
6.3 Sweeping Market Orders
6.4 Analysing Empirical Data
6.5 Conclusion
6.6 Further Reading
Joint-Queue Dynamics for Large-Tick Stocks
7.1 The Race to the Bottom
7.2 Empirical Results
7.3 Independent Queues
7.4 The Coupled Dynamics of the Best Queues
7.5 What Happens After a Race Ends?
7.6 Conclusion
7.7 Further Reading
The Santa Fe Model for Limit Order Books
8.1 The Challenges of Modelling LOBs
8.2 The Santa Fe Model
8.3 Basic Intuitions
8.4 Parameter Estimation
8.5 Model Simulations
8.6 Some Analytical Results
ix
152
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243
Contents
8.7 The Continuum, Diffusive-Price Limit
8.8 Conclusion: Weaknesses of the Santa Fe Model
8.9 Further Reading
PART IV CLUSTERING AND CORRELATIONS
Time Clustering and Hawkes Processes
9.1 Point Processes
9.2 Hawkes Processes
9.3 Empirical Calibration of Hawkes Processes
9.4 From Hawkes Processes to Price Statistics
9.5 Generalised Hawkes Processes
9.6 Conclusion and Open Issues
9.7 Further Reading
Long-Range Persistence of Order Flow
10.1 Empirical Evidence
10.2 Order Size and Aggressiveness
10.3 Order-Sign Imbalance
10.4 Mathematical Models for Persistent Order Flows
10.5 Liquidity Rationing and Order-Splitting
10.6 Conclusion
10.7 Further Reading
PART V PRICE IMPACT
The Impact of Market Orders
11.1 What Is Price Impact?
11.2 Observed Impact, Reaction Impact and Prediction Impact
11.3 The Lag-1 Impact of Market Orders
11.4 Order-Flow Imbalance and Aggregate Impact
11.5 Conclusion
11.6 Further Reading
The Impact of Metaorders
12.1 Metaorders and Child Orders
12.2 Measuring the Impact of a Metaorder
12.3 The Square-Root Law
12.4 Impact Decay
12.5 Impact Path and Slippage Costs
12.6 Conclusion
12.7 Further Reading
x Contents
PART VI MARKET DYNAMICS AT THE MICRO-SCALE
13 The Propagator Model 249
13.1 A Simple Propagator Model 249
13.2 A Model of Transient Impact and Long-Range Resilience 251
13.3 History-Dependent Impact Models 259
13.4 More on the Propagator Model 261
13.5 Conclusion 267
13.6 Further Reading 268
14 Generalised Propagator Models 270
14.1 Price Micro-Mechanics 270
14.2 Limitations of the Propagator Model 270
14.3 Two Types of Market Orders 272
14.4 A Six-Event Propagator Model 275
14.5 Other Generalisations 282
14.6 Conclusion 284
14.7 Further Reading 286
PART VII ADVERSE SELECTION AND LIQUIDITY PROVISION
The Kyle Model 290
15.1 Model Set-Up 290
15.2 Linear Impact 292
15.3 Discussion 293
15.4 Some Extensions 294
15.5 Conclusion 295
15.6 Further Reading 297
The Determinants of the Bid-Ask Spread 298
16.1 The Market-Maker’s Problem 299
16.2 The MRR Model 308
16.3 Empirical Analysis of the MRR Model 312
16.4 Conclusion 315
16.5 Further Reading 317
The Profitability of Market-Making 319
17.1 An Infinitesimal Market-Maker 321
17.2 Inventory Control for Small-Tick Stocks 323
17.3 Large-Tick Stocks 327
17.4 Conclusion 329
17.5 Further Reading 331
Contents
xi
PART VIII MARKET DYNAMICS AT THE MESO-SCALE
18 Latent Liquidity and Walrasian Auctions 337
18.1 More than Meets the Eye 337
18.2 A Dynamic Theory for Supply and Demand Curves 338
18.3 Infrequent Auctions 343
18.4 Frequent Auctions 345
18.5 From Linear to Square-Root Impact 348
18.6 Conclusion 350
18.7 Further Reading 353
19 Impact Dynamics in a Continuous-Time Double Auction 354
19.1 A Reaction-Diffusion Model 354
19.2 A Metaorder in an Equilibrated Market 356
19.3 Square-Root Impact of Metaorders 358
19.4 Impact Decay 359
19.5 Absence of Price Manipulation 361
19.6 Conclusion and Open Problems 362
19.7 Further Reading 364
20 The Information Content of Prices 366
20.1 The Efficient-Market View 366
20.2 Order-Driven Prices 368
20.3 A Self-Referential Model for Prices 372
20.4 Conclusion 375
20.5 Further Reading 376
PART IX PRACTICAL CONSEQUENCES
21 Optimal Execution 384
21.1 The Many Facets of Optimal Execution 385
21.2 The Optimal Scheduling Problem 386
21.3 Market Orders or Limit Orders? 394
21.4 Should I Stay or Should I Go? 397
21.5 Conclusion 402
21.6 Further Reading 403
22 Market Fairness and Stability 406
22.1 Volatility, Feedback Loops and Instabilities 409
22.2 A Short Review of Micro-Regulatory Tools 412
22.3 Conclusion: In Prices We Trust? 418
22.4 Further Reading 419
Contents
xii
Appendix 422
A. 1 Description of the NA SD A Q Data 422
A.2 Laplace Transforms and CLT 423
A3 A Propagator Model with Volume Fluctuations 428
A.4 TIM and HDIM 430
A.5 An Alternative Market-Making Strategy 432
A.6 Acronyms, Conventions and Symbols 434
Index 441
|
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| indexdate | 2024-07-10T08:04:38Z |
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| language | English |
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| spelling | Bouchaud, Jean-Philippe 1962- Verfasser (DE-588)129063053 aut Trades, quotes and prices financial markets under the microscope Jean-Philippe Bouchaud, Capitel 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 Cambridge, United Kingdom ; New York, NY ; Port Melbourne, Australia ; New Delhi, India ; Singapore Cambridge University Press 2018 xvii, 444 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Hier auch später erschienene, unveränderte Nachdrucke Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Capital market Stocks Futures Investments Kapitalmarkt (DE-588)4029578-3 s DE-604 Bonart, Julius Verfasser aut Donier, Jonathan Verfasser aut Gould, Martin 1986- Verfasser (DE-588)137155867 aut V:DE-601;B:DE-206 application/pdf http://www.gbv.de/dms/zbw/1010670034.pdf Inhaltsverzeichnis Inhaltsverzeichnis Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030308650&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bouchaud, Jean-Philippe 1962- Bonart, Julius Donier, Jonathan Gould, Martin 1986- Trades, quotes and prices financial markets under the microscope Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4029578-3 |
| title | Trades, quotes and prices financial markets under the microscope |
| title_auth | Trades, quotes and prices financial markets under the microscope |
| title_exact_search | Trades, quotes and prices financial markets under the microscope |
| title_full | Trades, quotes and prices financial markets under the microscope Jean-Philippe Bouchaud, Capitel 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 |
| title_fullStr | Trades, quotes and prices financial markets under the microscope Jean-Philippe Bouchaud, Capitel 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 |
| title_full_unstemmed | Trades, quotes and prices financial markets under the microscope Jean-Philippe Bouchaud, Capitel 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 |
| title_short | Trades, quotes and prices |
| title_sort | trades quotes and prices financial markets under the microscope |
| title_sub | financial markets under the microscope |
| topic | Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Kapitalmarkt |
| url | http://www.gbv.de/dms/zbw/1010670034.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030308650&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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