The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but als

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.

The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but als

"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical

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