LEADER 00000cam 122009497i 4500 
001    22543620 
003    LIBRIS 
008    180405s2018    xxk|||||||||||001 ||eng|c 
020    9781107156050|qhardback 
041    eng 
082 04 332.64|223/swe 
084    Qaec|2kssb/8 (machine generated) 
092 0  332|bengelska 
100 1  Bouchaud, Jean-Philippe,|d1962-|4aut 
245 10 Trades, quotes and prices :|bfinancial markets under the 
       microscope /|cJean-Philippe Bouchaud,  Julius Bonart, 
       Jonathan Donier, Martin Gould 
264  1 Cambridge ;|aNew York :|bCambridge University Press,|c2018
300    444 pages|billustrations 
336    text|btxt|2rdacontent 
337    unmediated|bn|2rdamedia 
338    volume|bnc|2rdacarrier 
504    Includes bibliographical references and index 
505 8  Machine generated contents note: 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 
599    Imported from: lx2.loc.gov:210/LCDB (Do not remove) 
650  0 Capital market 
650  0 Stocks 
650  0 Futures 
650  0 Investments 
650  7 Kapitalmarknad|2sao 
650  7 Aktier|2sao 
650  7 Futures|2sao 
650  7 Investeringar|2sao 
653    |5Sha|aFinancial markets 
653    |5Sha|aShares 
700 1  Bonart, Julius|4aut 
700 1  Donier, Jonathan|4aut 
700 1  Gould, Martin|4aut 
907 00 190729