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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 financia...

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Detalles Bibliográficos
Autores principales: Bouchaud, Jean-Philippe, Bonart, Julius, Donier, Jonathan, Gould, Martin
Lenguaje:eng
Publicado: Cambridge University Press 2018
Materias:
Acceso en línea:https://dx.doi.org/10.1017/9781316659335
http://cds.cern.ch/record/2310384