Empirical Market Microstructure

Mathematica Notebooks, June 2007, (Zipped files: notebooks pdf)

Most of the derivations used in the text (and answers to the exercises) are documented in Mathematica notebooks. These notebooks are available in pdf and Mathematica (version 6) format. Reading the Mathematica format requires either the Mathematica program (www.wolfram.com) or the Mathematica reader. The (free) Mathematica reader may be downloaded from the Wolfram Mathematica Player page. Also see Hints on reading Mathematica notebooks. If you plan to execute/modify/extend the notebooks, see the page Executing the Mathematica Notebooks.

Book Chapter/Section Mathematica notebook

Ch. 3 The Roll model of trade prices
Ch. 4 Univariate time series analysis
Ch. 8 The generalized Roll model


Ch. 5 Sequential Trade models
Ch. 6 Order flow and the probability of informed trading


Ch. 7 Strategic trade models


Ch. 9 Multivariate linear microstructure models
Ch. 10 Multiple securities and multiple prices


Ch. 11 Dealers and their inventories


Ch. 12 Limit order markets LimitOrders
Ch. 13 Depth LimitBookDepthI
Ch. 15 Trading strategies