Notes for /Trades, Quotes, and Prices/

git clone git://
commit b659bbd0ae37ba9798a295f88df09e28ab6d4ba5
parent c60e20082fd1b5be88466e4d6f15839ac336281c
Author: Shimmy Xu <>
Date:   Thu,  7 May 2020 16:16:12 -0500

Use actual titles of each chapter

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@@ -7,7 +7,7 @@
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-* Chapter 01
+* The Ecology of Financial Markets
 Walrasian auction: traders express commitment to trade at certain prices (liquidity provision) to auctioneer and auctioneer periodically clears market at intersection of supply and demand curve.
 Priority rules is needed when price is not continuous and Walrasian auction \(p^{*}\) cannot not be achieved, as some people won't get to trade.
@@ -35,7 +35,7 @@ Market operates in a regime of small revealed liquidity but large latent liquidi
 Scarcity of revealed liquidity forces large trades to be fragmented, which means prices cannot be in equilibrium in the traditional sense: since trades are fragmented, at any instant, the traded volume is much smaller than the latent supply and demand; at larger time scales, information start to display it's long term effects, causing price to change.
-* Chapter 02
+* The Statistics of Price Changes: An Informal Primer
 ** The Random Walk Model
 Bachelier argues future price changes are unpredictable and considers price series as Gaussian random walks. So Bachelier framework is basically a fancy name for Brownian motion model.
@@ -141,7 +141,7 @@ The decoupling between price and fundamental value allows a theory of price move
 Flat volatility signature plot is a sign of statistical efficiency.
-* Chapter 03
+* Limit Order Books
 LOB is constrained to a predefined price and volume grid, resolutions of which are tick size and lot size. Orders in LOB are firm commitments organized in a queue (until canceled), and quantifies the visible liquidity.
 Each order is described by sign, price, volume, and submission time:
@@ -189,7 +189,7 @@ The actions of traders in an LOB can be expressed solely in terms of the submiss
 For exchanges that are closed overnight, beginning and end of trading day may see so much volume that LOB trading would be prone to instabilities, so exchanges prefer to use auctions at those times. Auction clearing price is visible throughout, and traders can use this information to adjust their orders.
-* Chapter 04
+* Empirical Properties of Limit Order Books
 Large tick vs. small tick: if tick size is comparable to spread, then it's large tick; if tick size is way smaller than spread, then it's small tick.
 This chapter is basically stylized facts for order books.