Trades, Quotes and Prices：Financial Markets Under the Microscope

hewidespreadavailabilityofhigh-quality,high-frequencydatahasrevolutionisedthestudyoffinancialmarkets.Bydescribingnotonlyassetprices,butalsomarketparticipants'actionsandinteractions,thiswealthofinformationoffersanewwindowintotheinnerworkingsofthefinancialecosystem.Inthisoriginaltext,theauthorsdiscussempiricalfactsoffinancialmarketsandintroduceawiderangeofmodels,fromthemicro-scalemechanicsofindividualorderarrivalstotheemergent,macro-scaleissuesofmarketstability.Throughoutthisjourney,dataisking.Alldiscussionsarefirmlyrootedintheempiricalbehaviourofrealstocks,andallmodelsarecalibratedandevaluatedusingrecentdatafromNasdaq.Byconfrontingtheorywithempiricalfacts,thisbookforpractitioners,researchersandadvancedstudentsprovidesafresh,new,andoftensurprisingperspectiveontopicsasdiverseasoptimaltrading,priceimpact,thefragilenatureofliquidity,andeventhereasonswhypeopletradeatall.