Book of Donmon Teith

We examine the role of limit-order traders and specialists in the market-making process. We find that a large portion of posted bid-ask quotes originates from t

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

This study compares the components of the bid-ask spread estimated from quotes that reflect the trading interest of specialists with those estimated from limit-

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is examined. These relationships evolve during

The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit