Editors:
- This is the first book of its kind emerging out of the workshop where leading scientists from all over the world will discuss and report on their latest results
- Book will report recent researches and review contemporary developments
- The book will also include the comments and debates on the latest issues
Part of the book series: New Economic Windows (NEW)
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Table of contents (22 chapters)
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Front Matter
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Order Book Data and Modelling
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Front Matter
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High-Frequency Data and Modelling
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Front Matter
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Miscellaneous
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Front Matter
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About this book
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.
Editors and Affiliations
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Laboratory of Mathematics Applied to Systems, École Centrale Paris, Châtenay-Malabry, France
Frédéric Abergel, Anirban Chakraborti
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Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India
Bikas K. Chakrabarti
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Economic Research Unit, Indian Statistical Institute, Kolkata, India
Bikas K. Chakrabarti, Manipushpak Mitra
Bibliographic Information
Book Title: Econophysics of Order-driven Markets
Editors: Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Manipushpak Mitra
Series Title: New Economic Windows
DOI: https://doi.org/10.1007/978-88-470-1766-5
Publisher: Springer Milano
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer Milan 2011
Hardcover ISBN: 978-88-470-1765-8Published: 04 January 2011
Softcover ISBN: 978-88-470-5816-3Published: 23 August 2016
eBook ISBN: 978-88-470-1766-5Published: 06 April 2011
Series ISSN: 2039-411X
Series E-ISSN: 2039-4128
Edition Number: 1
Number of Pages: XV, 309
Topics: Heterodox Economics, Complex Systems, Partial Differential Equations, Statistical Physics and Dynamical Systems