Econophysics of Order-driven Markets [electronic resource] /
Econophys-Kolkata (Workshop)Corporate Author
Econophys-Kolkata(5th :2010 :Calcutta, India)
Econophys-Kolkata (Workshop)
Abergel, Frédéric.editor.
Chakrabarti, Bikas K.editor.
Chakraborti, Anirban.editor.
Mitra, Manipushpak.editor.
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.
Description based upon print version of record.
Includes bibliographical references.
pt. 1. Order book data and modelling -- pt. 2. High-frequency data and modelling -- pt. 3. Miscellaneous.
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.
Description based on print version record.
Schools of economics.
Statistical physics.
Dynamical systems.
Partial differential equations.
Heterodox Economics.
Complex Systems.
Partial Differential Equations.
Statistical Physics and Dynamical Systems.