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Limit Order Books
Language: en
Pages: 242
Authors: Frédéric Abergel
Categories: Mathematics
Type: BOOK - Published: 2016-05-09 - Publisher: Cambridge University Press

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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the ord
Algorithmic and High-Frequency Trading
Language: en
Pages: 360
Authors: Álvaro Cartea
Categories: Mathematics
Type: BOOK - Published: 2015-08-06 - Publisher: Cambridge University Press

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit
High Frequency Trading and Limit Order Book Dynamics
Language: en
Pages: 377
Authors: Ingmar Nolte
Categories: Business & Economics
Type: BOOK - Published: 2016-04-14 - Publisher: Routledge

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This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri
Econophysics and Sociophysics: Recent Progress and Future Directions
Language: en
Pages: 254
Authors: Frédéric Abergel
Categories: Science
Type: BOOK - Published: 2017-01-11 - Publisher: Springer

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This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and
Stochastic Processes for Physicists
Language: en
Pages: 203
Authors: Kurt Jacobs
Categories: Science
Type: BOOK - Published: 2010-02-18 - Publisher: Cambridge University Press

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Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid unders