Trades, Quotes and Prices: Financial Markets Under the Microscope

Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould · 2018 · Cambridge University Press

AdvancedHFTIntradayBook

The physics-style empirical view of the order book: long-memory order flow, square-root impact, propagator models. Essential for impact modelling.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT, Intraday
Data needed: Trades, L1 quotes, L2 depth (every update) Set what data you have
Themes: Order book models Price impact
Assets: Equities
Market: Global

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@book{bouchaud2018trades,
  author = {Bouchaud, Jean-Philippe and Bonart, Julius and Donier, Jonathan and Gould, Martin},
  title = {{Trades, Quotes and Prices: Financial Markets Under the Microscope}},
  publisher = {Cambridge University Press},
  year = {2018},
  doi = {10.1017/9781316659335}
}

Bouchaud, J.-P., Bonart, J., Donier, J., & Gould, M. (2018). Trades, Quotes and Prices: Financial Markets Under the Microscope. Cambridge University Press. https://doi.org/10.1017/9781316659335