Econophysics of Order-driven Markets

Frédéric Abergel

ISBN 10: 8847058163 / ISBN 13: 9788847058163

Editore: Springer Milan, Springer Milan, 2016

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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.

Codice articolo 9788847058163

Dati bibliografici

• Titolo: Econophysics of Order-driven Markets
• Editore: Springer Milan, Springer Milan
• Data di pubblicazione: 2016
• Lingua: Inglese
• ISBN 10: 8847058163
• ISBN 13: 9788847058163
• Rilegatura: Taschenbuch
• Condizione: Neu
• Dimensioni: 235 L x 155 A x 18 P (millimetri) 235 millimetri di larghezza per 155 millimetri di altezza per 18 millimetri di profondità
• Peso: 499 grammi

Descrizione articolo

Riassunto

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.