The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This b

In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophist

The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitione

Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important