«'Leading physicist and hedge fund manager Jean-Philippe Bouchaud and his co-authors have written an impressive book that no serious student of market microstructure can afford to be without. Simultaneously quantitative and highly readable, Trades, Quotes and Prices presents a complete picture of the topic, from classical microstructure models to the latest research, informed by years of practical trading experience.' Jim Gatheral, Baruch College, City University of New York»

«'This book describes the dynamics of supply and demand in modern financial markets. It is a beautiful story, full of striking empirical regularities and elegant mathematics, illustrating how the tools of statistical physics can be used to explain financial exchange. This is a tour de force with the square root law of market impact as its climax. It shows how institutions shape human behaviour, leading to a universal law for the relationship between fluctuations in supply and demand and their impact on prices. I highly recommend this to anyone who wants to see how physics has benefited economics, or for that matter, to anyone who wants to see a stellar example of a theory grounded in data.' Doyne Farmer, University of Oxford»

«'This is a masterful overview of the modern and rapidly developing field of market microstructure, from several of its creators. The emphasis is on simple models to explain real and important features of markets, rather than on sophisticated mathematics for its own sake. The style is narrative and illustrative, with extensive references to more detailed work. A unique feature of the book is its focus on high-frequency data to support the models presented. This book will be an essential resource for practitioners, academics, and regulators alike.' Robert Almgren, New York University and Quantitative Brokers»