Econophysics of Order-driven Markets

Proceedings of Econophys-Kolkata V

  • Frédéric Abergel
  • Bikas K. Chakrabarti
  • Anirban Chakraborti
  • Manipushpak Mitra

Part of the New Economic Windows book series (NEW)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Order Book Data and Modelling

    1. Front Matter
      Pages 1-1
    2. Fabrizio Pomponio, Frédéric Abergel
      Pages 3-16
    3. Vikram S. Vijayaraghavan, Sitabhra Sinha
      Pages 17-30
    4. Romain Delassus, Stéphane Tyč
      Pages 31-47
    5. Charles-Albert Lehalle, Olivier Guéant, Julien Razafinimanana
      Pages 73-92
    6. Frédéric Abergel, Aymen Jedidi
      Pages 93-107
    7. Valentina Alfi, Matthieu Cristelli, Luciano Pietronero, Andrea Zaccaria
      Pages 109-124
    8. François Ghoulmié
      Pages 125-138
    9. Laurent Foata, Michael Vidhamali, Frédéric Abergel
      Pages 139-152
  3. High-Frequency Data and Modelling

    1. Front Matter
      Pages 153-153
    2. Khalil Al Dayri, Emmanuel Bacry, Jean-François Muzy
      Pages 155-172
    3. Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
      Pages 173-187
    4. Nicolas Huth, Frédéric Abergel
      Pages 189-202
    5. Jim Gatheral, Alexander Schied, Alla Slynko
      Pages 225-236
  4. Miscellaneous

    1. Front Matter
      Pages 237-237
    2. Fulvio Baldovin, Dario Bovina, Francesco Camana, Attilio L. Stella
      Pages 239-252

About this book

Introduction

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.

Keywords

Econophysics Finance Order-driven markets

Editors and affiliations

  • Frédéric Abergel
    • 1
  • Bikas K. Chakrabarti
    • 2
    • 3
  • Anirban Chakraborti
    • 1
  • Manipushpak Mitra
    • 3
  1. 1.Laboratory of Mathematics Applied to SystemsÉcole Centrale ParisChâtenay-MalabryFrance
  2. 2.Centre for Applied Mathematics and Computational ScienceSaha Institute of Nuclear PhysicsKolkataIndia
  3. 3.Economic Research UnitIndian Statistical InstituteKolkataIndia

Bibliographic information

  • DOI https://doi.org/10.1007/978-88-470-1766-5
  • Copyright Information Springer Milan 2011
  • Publisher Name Springer, Milano
  • eBook Packages Business and Economics
  • Print ISBN 978-88-470-1765-8
  • Online ISBN 978-88-470-1766-5
  • Series Print ISSN 2039-411X
  • Series Online ISSN 2039-4128
  • About this book