Econophysics of Order-driven Markets

Frédéric Abergel

ISBN 10: 8847058163 / ISBN 13: 9788847058163

Edité par Springer Milan, Springer Milan, 2016

A propos de cet article

Druck auf Anfrage Neuware - Printed after ordering - 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.

N° de réf. du vendeur 9788847058163

Détails bibliographiques

• Titre: Econophysics of Order-driven Markets
• Éditeur: Springer Milan, Springer Milan
• Date de parution: 2016
• Langue: anglais
• ISBN à 10 chiffres: 8847058163
• ISBN à 13 chiffres: 9788847058163
• Reliure: Taschenbuch
• État de l'article: Neu
• Dimensions: 235 L x 155 H x 18 P (en millimètres) 235 millimètres de largeur par 155 millimètres de hauteur par 18 millimètres de profondeur
• Poids: 499 grammes

A propos de ce titre

Synopsis

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.