Mastering 'Metrics: The Path From Cause to Effect Joshua D. Angrist and Jörn-Steffen Pischke
An accessible and fun guide to the essential tools of econometric researchApplied econometrics, known to aficionados as 'metrics, is the original data science. 'Metrics encompasses the statistical methods economists use to untangle cause and effect ...
Trades, Quotes and Prices Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new ...
