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Description
Trades, Quotes and Prices: Financial Markets Under the Microscope presents a rigorous, data-driven analysis of modern financial market microstructure. Spanning 22 chapters across nine core parts, authors Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, and Martin Gould evaluate empirical electronic exchange behavior using high-frequency Nasdaq data. The book systematically explores limit order book mechanics, queue dynamics, Hawkes processes, and the persistent temporal correlations found in order flow.
Building from statistical physics and quantitative finance, the text details the theory of price impact for both individual market orders and institutional metaorders. It investigates micro-scale propagator models, adverse selection, Kyle's model, the bid-ask spread, and market-maker profitability, concluding with practical treatments of optimal execution scheduling and regulatory market stability. Across, this volume bridges empirical data and quantitative modeling.
Institutional Use
This volume serves as a core text and reference across university graduate programs in financial engineering, quantitative finance, econophysics, and applied mathematics. Academic faculties utilize it for advanced master's and doctoral seminars in market microstructure and algorithmic execution. Institutional trading firms, quantitative asset managers, and execution research desks adopt it as a foundational technical reference for designing optimal trading schedules, measuring price impact, and managing inventory risk. Furthermore, regulatory research divisions and exchange authorities consult its empirical framework to assess market design, liquidity fragmentation, and market stability.
Product Details
| ISBN-13 | 9781107156050 |
|---|---|
| ISBN-10 | 110715605X |
| Edition | 1st Edition |
| Authors | Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould |
| Publisher | Cambridge University Press |
| Publication date | 2018-03-22 |
| Format | Hardcover |
| Language | English |
| Category | Finance, Real Estate & Investing |
| List price | $57.99 / copy |
| Min. order | 5 copies |
| Condition | New |
Table of Contents
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 - 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
Key Topics
- Market Microstructure
- Limit Order Books (LOB) Mechanics
- High-Frequency Order Flow and Nasdaq Data
- Point Processes and Hawkes Processes
- Price Impact of Market Orders and Metaorders
- Propagator Models of Price Formation
- The Kyle Model and Adverse Selection
- Bid-Ask Spread Determinants and Market Making
- Optimal Execution and Trade Scheduling
- Market Stability, Volatility, and Micro-Regulation
Who This Is For
- Quantitative Researchers and Financial Engineers
- Algorithmic Traders and Execution Desk Quantitative Developers
- Graduate Students in Quantitative Finance, Econophysics, and Applied Mathematics
- Financial Market Regulators and Exchange Policy Economists
- Institutional Portfolio Managers and Execution Risk Analysts
Institutional & Bulk Ordering
- Minimum order: 5 copies, with tiered pricing at higher quantities
- Purchase orders and Net-30 terms accepted for qualifying institutions
- Tax-exempt certificates accepted for qualifying accounts
- Free worldwide shipping, no sales tax
Edition & Identifier Check
Always confirm this exact ISBN-13 and edition (9781107156050) against your syllabus or procurement request before ordering — editions of this title are not interchangeable.
Frequently Asked Questions
Q: What core subjects does Trades, Quotes and Prices cover?
A: The book systematically covers market microstructure across nine parts and 22 chapters, detailing limit order book mechanics, high-frequency empirical properties, Hawkes processes, the price impact of market orders and metaorders, propagator models, the Kyle model, bid-ask spread dynamics, optimal execution scheduling, and regulatory market stability.
Q: What data sources and methodologies are utilized in this volume?
A: The text pairs statistical physics and econometric modeling directly with empirical data, using granular, high-frequency order book and transaction feeds from Nasdaq to calibrate and evaluate models of order arrival, queue dynamics, and price impact.
Q: Who are the authors of this work?
A: The book is co-authored by Jean-Philippe Bouchaud (Capital Fund Management), Julius Bonart (University College London), Jonathan Donier (Spotify, formerly Capital Fund Management), and Martin Gould (CFM-Imperial Institute of Quantitative Finance alumnus).
Q: What edition and binding is ISBN 9781107156050?
A: ISBN 9781107156050 is the original 1st edition hardback published by Cambridge University Press in March 2018, spanning with 79 illustrations and 7 tables.
Q: What is the minimum order quantity for this title?
A: The minimum order is 5 copies. Tiered pricing applies at 5, 10, and 25 copies; orders of 100 or more copies are quoted directly by email.
Q: Is this the correct edition for my program or syllabus?
A: This listing is ISBN 9781107156050 (ISBN-10 110715605X). Please confirm this exact identifier and edition against your syllabus or procurement request before ordering, as editions of this title are not interchangeable.
Q: Do you accept purchase orders and offer Net-30 terms?
A: Yes. Purchase orders and Net-30 terms are accepted for qualifying institutions, and tax-exempt certificates are accepted at checkout.
Q: Do you ship internationally?
A: Yes, Global Academic Supply offers free worldwide shipping with no sales tax on qualifying orders.