Econophysics of Order-driven Markets

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.

Summary

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.

Product details

• Assisted by: Fr¿ric Abergel (Editor), Frederic Abergel (Editor), Frédéric Abergel (Editor), Bikas K Chakrabarti (Editor), Bikas K. Chakrabarti (Editor), Anirban Chakraborti (Editor), Anirban Chakraborti et al (Editor), Bika K Chakrabarti (Editor), Bikas K Chakrabarti (Editor), Manipushpak Mitra (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2016
• EAN: 9788847058163
• ISBN: 978-88-470-5816-3
• No. of pages: 309
• Dimensions: 154 mm x 16 mm x 237 mm
• Weight: 504 g
• Illustrations: XV, 309 p.
• Series: New Economic Windows; New Economic Windows
• Subjects: Social sciences, law, business > Business > Economics; Analysis, B, Economics and Finance, Complex systems, Theoretical, Mathematical and Computational Physics, Management science, Partial Differential Equations, Differential calculus & equations, Dynamical systems, Schools of economics, Heterodox Economics, Dynamics & statics, Statistical physics, Statistical Physics and Dynamical Systems, Econophysics;Finance;Order-driven markets