Trades, Quotes and Prices: Financial Markets Under the Microscope

By Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier & Martin Gould

Trades, Quotes and Prices: Financial Markets Under the Microscope is a groundbreaking and data-driven examination of how financial markets truly operate beneath the surface. Published by Cambridge University Press, this book applies statistical physics, econometrics, and quantitative finance to reveal the real mechanisms of price formation and market dynamics.

Bridging theory and practice, the authors analyze how order flow, liquidity, volatility, and market microstructure interact to generate price movements. The book provides one of the most rigorous and empirically grounded frameworks available for understanding modern electronic markets.

What This Book Does

This text dissects financial markets at the micro level, explaining how trades, quotes, and order books shape prices. Readers gain a deep understanding of limit order book dynamics, price impact, execution costs, and the statistical regularities observed across global markets.

Key Features of the 1st Edition

• Empirical analysis based on large-scale market datasets
• Interdisciplinary approach combining physics, statistics, and finance
• In-depth modeling of limit-order books and price impact
• Direct relevance to algorithmic trading and execution strategy design
• Authored by leading pioneers in econophysics and market microstructure

Topics Covered

• Introduction to Market Microstructure
• Order Book Dynamics and Trade Flow
• Liquidity, Volatility, and Market Impact
• Price Formation Mechanisms
• Empirical Stylized Facts of Financial Markets
• Execution Costs and Algorithmic Trading Strategies
• Market Efficiency and Systemic Risk

The definitive guide to understanding real-world price formation and market dynamics.
Order today from BooksGoat and explore markets under the microscope.