Abergel / Anane / Chakraborti Limit Order Books

Erscheinungsjahr 2017
ISBN: 978-1-316-87068-6
Verlag: Cambridge University Press
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 0 Seiten

Reihe: Physics of Society: Econophysics and Sociophysics

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.

Autoren/Hrsg.

Abergel, Frédéric

Abergel, Frederic

Anane, Marouane

Chakraborti, Anirban

Jedidi, Aymen

Muni Toke, Ioane

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik EDV | Informatik Angewandte Informatik Wirtschaftsinformatik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

Foreword; Preface; Acknowledgements; List of tables; List of figures; 1. A short introduction to limit order books; 2. Statistical properties of limit order books: a survey; 3. The order book shape as a function of the average size of limit orders; 4. Empirical evidence of market making and market taking; 5. Agent-based modelling of limit order books: a survey; 6. The mathematical structure of zero-intelligence limit order book models; 7. The order book as a queueing system; 8. Advanced modelling of limit order books; 9. Numerical simulation of limit order books; 10. Market imperfection and predictability; Appendix A. A catalogue of order types on financial markets; Appendix B. Limit order book data; Appendix C. Some useful mathematical notions; Appendix D. Comparison of various prediction methods; Bibliography; Index.

Über Autor(innen)

Anane, Marouane
Marouane Anane is a Quantitative Analyst at BNP Paribas, Paris. He holds a Ph.D. in Applied Mathematics from the École Centrale Paris. His research interests include market-making strategies, price dynamics and automated technical analysis.

Muni Toke, Ioane
Ioane Muni Toke is Associate Professor and Dean of Studies at the Université de la Nouvelle-Calédonie, New Caledonia. He holds a Ph.D. in Applied Mathematics from the École Centrale Paris. He has held academic and research positions at the École Centrale Paris and the University of Texas, Dallas. His research interests include financial markets modelling and microstructure, quantitative finance, statistical finance, applied mathematics and applied probability.

Chakraborti, Anirban
Anirban Chakraborti is Professor and Dean of the School of Computational and Integrative Sciences, Jawaharlal Nehru University. He holds a Ph.D. in Physics from the Saha Institute of Nuclear Physics. He has held several academic and research positions at the Saha Institute of Nuclear Physics, the Helsinki University of Technology, Brookhaven National Laboratory, Banaras Hindu University and the École Centrale Paris. In 2009, he received the Young Scientist Medal from the Indian National Science Academy. His areas of research include econophysics, statistical physics and quantum physics.

Jedidi, Aymen
Aymen Jedidi is a Quantitative Analyst at HSBC Bank, Paris. He holds a Ph.D. in Applied Mathematics from the École Centrale Paris. His research interests are quantitative risk management and stochastic order book modelling.

Abergel, Frédéric
Frederic Abergel is Professor and Chair of Quantitative Finance, CentraleSupélec, France. He holds a PhD in Mathematics from the Université Paris-Sud. He began his career as a CNRS scientist at the Université Paris-Sud and gained several years of industrial experience in investment banking at BNP Paribas, CAI Cheuvreux, Barclays Capital and Natixis CIB. His areas of research include financial markets, pricing and hedging of derivatives, quantitative finance and empirical properties of financial data.