Econophysics Of Order Driven Markets

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Econophysics Of Order Driven Markets

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Author : Frédéric Abergel
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-04-06

Econophysics Of Order Driven Markets written by Frédéric Abergel and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-06 with Business & Economics categories.

The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.

Econophysics

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Author : Sitabhra Sinha
language : en
Publisher: John Wiley & Sons
Release Date : 2010-12-06

Econophysics written by Sitabhra Sinha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-06 with Science categories.

Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensive introduction. Based on extensive teaching experience, it includes numerous worked examples and highlights in special biographical boxes some of the most outstanding personalities and their contributions to both physics and economics. The whole is rounded off by several appendices containing important background material.

Limit Order Books

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Author : Frédéric Abergel
language : en
Publisher: Cambridge University Press
Release Date : 2016-05-09

Limit Order Books written by Frédéric Abergel and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-09 with Business & Economics categories.

This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.

Essentials Of Econophysics Modelling

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Author : Frantisek Slanina
language : en
Publisher: Oxford University Press, USA
Release Date : 2014

Essentials Of Econophysics Modelling written by Frantisek Slanina and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.

This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.

Trades Quotes And Prices

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Author : Jean-Philippe Bouchaud
language : en
Publisher: Cambridge University Press
Release Date : 2018-03-22

Trades Quotes And Prices written by Jean-Philippe Bouchaud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-22 with Business & Economics categories.

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.

Handbook On Systemic Risk

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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-23

Handbook On Systemic Risk written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-23 with Business & Economics categories.

The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Machine Learning And Data Sciences For Financial Markets

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Author : Agostino Capponi
language : en
Publisher: Cambridge University Press
Release Date : 2023-06

Machine Learning And Data Sciences For Financial Markets written by Agostino Capponi and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06 with Business & Economics categories.

Learn how cutting-edge AI and data science techniques are integrated in financial markets from leading experts in the industry.

Financial Econometrics And Empirical Market Microstructure

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Author : Anil K. Bera
language : en
Publisher: Springer
Release Date : 2014-11-18

Financial Econometrics And Empirical Market Microstructure written by Anil K. Bera and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-18 with Business & Economics categories.

In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​

Market Microstructure In Practice Second Edition

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Author : Charles-albert Lehalle
language : en
Publisher: World Scientific
Release Date : 2018-01-18

Market Microstructure In Practice Second Edition written by Charles-albert Lehalle and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-18 with Business & Economics categories.

This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the'Flash Crash' of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.

Complexity In Financial Markets

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Author : Matthieu Cristelli
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-08-28

Complexity In Financial Markets written by Matthieu Cristelli and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-28 with Science categories.

Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets’ stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential.