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 |
RollBasicAndGeneralized |
| Ch. 5 Sequential Trade models Ch. 6 Order flow and the probability of informed trading |
|
| Ch. 7 Strategic trade models | StrategicTrade |
| Ch. 9 Multivariate linear microstructure models Ch. 10 Multiple securities and multiple prices |
MultivariateMicrostructureModels |
| Ch. 11 Dealers and their inventories | DealersAndInventories |
| Ch. 12 Limit order markets | LimitOrders |
| Ch. 13 Depth | LimitBookDepthI LimitBookDepthII |
| Ch. 15 Trading strategies | TradingStrategiesI |