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Limit Order Books (Hardcover) Loot Price: R1,429
Discovery Miles 14 290
Limit Order Books (Hardcover): Frederic Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, Ioane Muni Toke

Limit Order Books (Hardcover)

Frederic Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, Ioane Muni Toke

Series: Physics of Society: Econophysics and Sociophysics

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Loot Price R1,429 Discovery Miles 14 290 | Repayment Terms: R134 pm x 12*

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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 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.

General

Imprint: Cambridge UniversityPress
Country of origin: United Kingdom
Series: Physics of Society: Econophysics and Sociophysics
Release date: May 2016
Authors: Frederic Abergel • Marouane Anane • Anirban Chakraborti • Aymen Jedidi • Ioane Muni Toke
Dimensions: 252 x 189 x 17mm (L x W x T)
Format: Hardcover
Pages: 238
ISBN-13: 978-1-107-16398-0
Categories: Books > Business & Economics > Finance & accounting > Finance > General
Books > Business & Economics > Business & management > Business mathematics & systems > General
Books > Money & Finance > General
LSN: 1-107-16398-6
Barcode: 9781107163980

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