Screen Based Trading and Open Order Book - From One-sided Order Execution to Two-sided Order Matching. DE

This book explores screen-based trading with an open order book, where traders' decisions influence others in real time via that open order book. Modelling traders actions using discrete choice, a method proven in other fields but new to finance, and the integration of discrete choice into a Markov Process, offers an innovative approach to understanding decision making under uncertainty. We call this combination "Doubly Stochastic Markov Process" (DSMP for short).
The book is aimed at those interested in real market performance with traders modelling based on behavioural expertise.
Monitoring orders instead of prices creates a competitive advantage because the adjustment of prices requires prior adjustment of orders. Only the matching of orders generates transactions and prices. Efficient order management turns risky volatility into profits.
The presentation of DSMP is preceded by an introductory overview of trading venues and concludes with an outlook on the increasing suitability of stochastic processes to implement the interactions of agents and to facilitate modelling the self-organisation of markets.

List of contents

Preface: Beyond Markowitz: Trading turns volatilities into profits.- Introduction.- Decision-making with Known Probabilities of Outcome.- Performance of Real Trading Venues.- Discrete Choice Capabilities to Select Orders.- Decision Frame Modelling.- Entropy and Economic Efficiency.- Outlook.

Product details

• Authors: Sascha Bakry, Georg Behm, Otto Loistl
• Publisher: Springer, Berlin
• Languages: English
• Product format: Hardback
• Release: 18.09.2025
• EAN: 9783031990519
• ISBN: 978-3-0-3199051-9
• No. of pages: 250
• Illustrations: Approx. 250 p.
• Series: New Economic Windows
• Subjects: Social sciences, law, business > Business > Miscellaneous; Unternehmensfinanzierung, Wirtschaftstheorie und -philosophie, Behavioral Finance, Verhaltensökonomie, Behavioral Economics, Corporate Finance, Behavioural Finance, capital markets, Financial Economics, Quantitative Economics, Discrete Choice, Screen Trading, Interaction Implies Data’s Change, Open Order Book, Modelling Agents to Placing Orders, Order’s Utility, Probability and Entropy, Random Utility, Price Generation by Order Matching, Markov’s Discrete State and Continuous Time Space, Market Microstructure