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Limit Order Books

2016-05-09 Mathematics
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Release : 2016-05-09
Genre : Mathematics
Kind : eBook
Book Rating : 480/5 ( reviews)

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Book Synopsis Limit Order Books by : Frédéric Abergel

Download or read book Limit Order Books written by Frédéric Abergel. This book was released on 2016-05-09. Available in PDF, EPUB and Kindle. Book excerpt: 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 order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.

Algorithmic and High-Frequency Trading

2015-08-06 Mathematics
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Release : 2015-08-06
Genre : Mathematics
Kind : eBook
Book Rating : 650/5 ( reviews)

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Book Synopsis Algorithmic and High-Frequency Trading by : Álvaro Cartea

Download or read book Algorithmic and High-Frequency Trading written by Álvaro Cartea. This book was released on 2015-08-06. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

High Frequency Trading and Limit Order Book Dynamics

2016-04-14 Business & Economics
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Release : 2016-04-14
Genre : Business & Economics
Kind : eBook
Book Rating : 766/5 ( reviews)

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Book Synopsis High Frequency Trading and Limit Order Book Dynamics by : Ingmar Nolte

Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte. This book was released on 2016-04-14. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Processes for Physicists

2010-02-18 Science
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Release : 2010-02-18
Genre : Science
Kind : eBook
Book Rating : 799/5 ( reviews)

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Book Synopsis Stochastic Processes for Physicists by : Kurt Jacobs

Download or read book Stochastic Processes for Physicists written by Kurt Jacobs. This book was released on 2010-02-18. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.

Why Stocks Go Up (and Down)

1983 Business & Economics
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Release : 1983
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Why Stocks Go Up (and Down) by : William H. Pike

Download or read book Why Stocks Go Up (and Down) written by William H. Pike. This book was released on 1983. Available in PDF, EPUB and Kindle. Book excerpt:

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