"The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.

“高质量、高频率数据的广泛可用性彻底改变了对金融市场的研究。通过不仅描述资产价格，而且还描述市场参与者的行为和互动，这些丰富的信息为了解金融生态系统的内部运作提供了一扇新的窗口。在这篇原文中，作者讨论了金融市场的经验事实，并介绍了广泛的模型，从单个订单到达的微观机制到新兴的宏观市场稳定问题。在整个旅程中，数据是王道。所有的讨论都扎根于真实股票的实证行为，所有的模型都使用纳斯达克的最新数据进行了校准和评估。通过将理论与经验事实相结合，这本书为从业者、研究人员和高级学生提供了一个新鲜的、新的、经常令人惊讶的视角，涉及到各种各样的话题，如最优交易、价格影响、流动性的脆弱性，甚至是人们进行交易的原因。