Trades, Quotes and Prices: Financial Markets Under the Microscope

By Jean-Philippe Bouchaud, J. Bonart, Jonathan Donier, M. Gould. 2018

218 citations recorded by the source corpus.

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In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis (2021, methodology): “To analyze what happens in our model, we suppose some autocorrelation in the order flow (like Madhavan et al. (1997) and Bouchaud et al. (2018)): xt = (1 x) xt 1 + "t, where "t is i.i.d.”
Generating synthetic data in finance: opportunities, challenges and pitfalls (2020, background): “There are alternatively, certain “stylized facts” that are widely observed in market microstructure data, that are often evaluated qualitatively [56, 57].”