This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri

The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit

A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the ord

A fully revised second edition of the best guide to high-frequency trading High-frequency trading is a difficult, but profitable, endeavor that can generate sta

The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematician