Trades, Quotes and Prices

🔥🔥🔥🔥👏🏼👏🏼👏🏼 Perfect 👌🏽 thank youuuu🙏🏼

Very readable for graduate students without strong math background. Highly recommended.

A terrific book written by academics steeped in practice that describes how the real-time activity at the micro-level of financial markets shapes outcomes at higher levels. Given how much attention is paid to asset prices, it is quite useful to shed an empirical, data-driven light on the market dynamics that produce the fluctuations we observe. Key message is that current prices are fleeting given how impactful subsequent transactions will be.

I found the section on the Sante Fe model for managing LOBs particularly interesting.