Limit Order Books

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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.

High Frequency Trading And Limit Order Book Dynamics

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Author : Ingmar Nolte
language : en
Publisher: Routledge
Release Date : 2016-04-14

High Frequency Trading And Limit Order Book Dynamics written by Ingmar Nolte and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-14 with Business & Economics categories.

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Market Microstructure Theory

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Author : Maureen O'Hara
language : en
Publisher: John Wiley & Sons
Release Date : 1998-03-06

Market Microstructure Theory written by Maureen O'Hara 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 1998-03-06 with Business & Economics categories.

Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.

Algorithmic And High Frequency Trading

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Author : Álvaro Cartea
language : en
Publisher: Cambridge University Press
Release Date : 2015-08-06

Algorithmic And High Frequency Trading written by Álvaro Cartea 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 2015-08-06 with Business & Economics categories.

A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.

Modeling Financial Time Series With S Plus

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Author : Eric Zivot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11

Modeling Financial Time Series With S Plus written by Eric Zivot 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 2013-11-11 with Business & Economics categories.

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

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.

The Economics Of Missing Markets Information And Games

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Author : Frank Hahn
language : en
Publisher: Oxford University Press, USA
Release Date : 1989

The Economics Of Missing Markets Information And Games written by Frank Hahn 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 1989 with Business & Economics categories.

This collection of papers is the result of a Cambridge University study of the consequences of missing markets, asymmetric information, market-dependent information, strategic market situations, and the role of quantity signals. The contributors also consider the behavior of overlapping generation models and their macroeconomic implications, providing a useful reference text on most of the main issues of current interest to economic theorists.

The Microstructure Of Financial Markets

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Author : Frank de Jong
language : en
Publisher: Cambridge University Press
Release Date : 2009-05-14

The Microstructure Of Financial Markets written by Frank de Jong 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 2009-05-14 with Business & Economics categories.

The first graduate level textbook to cover the theory and empirics of the emerging sub-discipline of financial market microstructure. With numerous end-of-chapter exercises and a companion website, the book is ideally suited for students taking graduate courses in finance as well as being a useful reference for practitioners.

Introduction To Signal Processing

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Author : Sophocles J. Orfanidis
language : en
Publisher:
Release Date : 1996

Introduction To Signal Processing written by Sophocles J. Orfanidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Technology & Engineering categories.

This book differs from the classical DSP book model pioneered by O/S. Includes chapters on DFT, Z-Transform and Filter Design. The book starts out with what one reviewer calls "fun topics", and DSP applications".

High Frequency Trading

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Author : David Easley
language : en
Publisher:
Release Date : 2013-09-30

High Frequency Trading written by David Easley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-30 with Electronic trading of securities categories.