Econophysics of Order-driven Markets [electronic resource] : Proceedings of Econophys-Kolkata V / edited by Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Manipushpak Mitra.

Contributor(s):

Series: New Economic WindowsPublisher: Milano : Springer Milan : Imprint: Springer, 2011Description: XIV, 316 p. 60 illus. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9788847017665

Subject(s):

Genre/Form:

Electronic books.

Additional physical formats: Printed edition:: No titleDDC classification:

330.15 23

LOC classification:

HB90-HB99.722

Online resources:

Click here to access online

In: Springer eBooksSummary: 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.

Item type:

eBooks

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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.